This may be an obvious idea, but a thesis on the author's play of words in the title would make a fine essay. The word "blues" refers to music and to a feeling of sadness. A thesis statement that tells the reader about how both meanings of the word are reflected in the story and then topic sentences developing each idea would work very well.
Another idea is to write a paper on the use of light and darkness in the story. For example, you might say something like this:
Baldwin uses lightness and darkness to show the lightness and darkness in the setting and in the characters in the story.
You could then write topic sentences on the use of lightness in the setting, lightness in the characters, darkness in the setting, and darkness in the characters.
There is ample evidence in the text to support both of these theses.