From the most accessible places, where the blue and silver colors vibrate, Yemayá
with its algae, marine stars, corals and colorful fish ...
Natalia Bolívar (Afrocuban Legends)
The answer to this question is offered to us by professor and researcher Rolando Rensoli Medina in the third edition of his book entitled La Habana Ciudad Azul. Metrópolis cubana, published by the Extramuros publishing house and presented in the 28th edition of the International Book Fair, Cuba 2019.
As the Professor and Auxiliary Researcher also points out, "the identification of the Cuban capital with the blue tonality is not a contribution of contemporaneity but of tradition".
The first reference comes through a religious motive, -confirms Rensoli Medina-, when on December 26, 1714, the Virgin of Our Lady of Regla (identified as Yemayá for the Rule Ifa-Ocha or Santería) to whose advocation was delivered the port of Havana, its waters and all maritime activity. Since then, "Patroness" for the bay, the dock and its coastal towns, yielded its image and the color that represents it as an emblem.
Yemayá, the wise and generous mother of everyone and of all, decided to give veins to the earth, and in this way formed rivers of fresh and potable water ... 
There is another reference to identify, or at least confirm why, the blue color identifies those who were born or reside in the capital that meets this 2019 its first fifth centenary. This reference is in the heraldry, where the blue background stands out in the last and definitive version of the coat of arms dispensed to the city.
"The blue, present by the waters that bathe the coasts of this province, was the color of the Club Almendares, classic of the former Professional Baseball League of Cuba and that today defends Industriales, a distinguished ensemble of the revolutionary baseball since 1963", highlights the Professor Rensoli.
The color blue lives as an emblem in millions of beings who find refuge in this city, whether or not they are native to it. In the end it almost does not matter the identity card that identifies the authenticity. We are all from Havana, here and there; those of the center and many! from the east, those who came from Spain and even those who never imagined it. In each of them will be imposed, as a way of life, a color that will govern their destinies, in honor of this city: the blue, that of Yemayá, who purifies all our actions ...
 See Leyendas afrocubanas por Natalia Bolívar, Editorial Porrúa, p. 11