What do the Blue soldiers say when they spot you?
They introduce themselves as 'Schutzstaffel' (Protection Squadron), the paramilitary organization better known as the SS. In the source code as released by id software the sound file is referred to as SCHUTZADSND.
Strangely enough the famous blue sprite doesn't look like any version of the historical SS uniform. This was changed in the Spear of Destiny mission packs, where this enemy type adopted a black uniform. The health definitions in the source code also does confirm these enemy types are meant to be SS troopers:
25, // guards
50, // officer
100, // SS
1, // dogs
I think they're definitely saying "Schutzstaffel!". As far as the details on their uniforms; Wolfenstein 3d was a prototype for the game series. As the series expanded leading up to the newest one, Return to Castle Wolfenstein: Operation Resurrection, they did more extensive research on the proper SS uniforms. You notice on Operation Resurrection they're a lot more detailed and a lot more accurate. As to what the blue SS soldiers say when they die, it sounds like "Mein leben!" which in German translates to "My life!" This was found in urbandictionary.com (link below) https://www.urbandictionary.com/define.php?term=Mein+Leben&=true