Does the Blue Spiny Koopa Shell ever appear on a Koopa?
The only creature I've found with the Blue Spiny Shell is Sky-Blue Spiny, and is found in Paper Mario: The Thousand-Year Door.
There was a similar one in old Super Mario Bros. 3: 
If they aren't defeated in time, Spinies will flip themselves over and their shell will turn from red to green (and from green to blue if it happens a second time), making it faster.