Getting a good solid dye is a pain in the ass, technologically. Most natural dyes fade pretty fast, on the archaeological scale, and when you paint your giant statue, you want to know that the sparkling cornflower blue of his pants will stay that way for the generations immemorial your civilization is totally going to have. Woad and indigo, which were great for textiles, were not going to work on walls. Artificial dyes, however, require some fairly intense engineering problems. Blue in particular has posed issues of toxicity and durability throughout the years. Egyptian blue and Han blue, which are both stable, chemical, cupric, and probably related, got used in their separate world-spanning empires for a couple thousand years but vanished into the mist of the ages by about 300 CE. That left Eurasia with azurite and similar ineffective “if we smear enough blue rock on this, that will turn it blue forever, right?” techniques.
Meanwhile In America, the Maya were facepalming really hard, because they had solved this technological problem actually something like four hundred years before our period in between games of protolacrosse. See, the thing you do to make Maya blue is you take indigo and you combine it with white clay, called palygorskite, and it dyes the clay, and then you melt the clay and have a pigment. This is a more complicated process than it sounds, since you need to create chemical bonds between the indigo and the clay, which means using incredibly high temperatures. The Maya also probably used a binding agent called copal, which is a tree sap incense, thereby making the whole process much more aromatic and possibly sanctified. Very well played, The Maya.
There are scattered uses of Maya blue during the pre-Classical period, but it really kicks off during the Classical period, when there were mines opened in the Yucatán to get enough palygorskite to decorate every elaborately beautiful urban center and temple site. It is hands-down the best blue dye to survive from the archaeological world. This process, of course, was lost too.
Here’s a fun fact: the guy who invented Prussian blue, which for some reason is referred to as the first synthetic dye even though that title is off by something like five thousand years, is named Diesbach. Diesbach appears to be a mysterious incompetent who didn’t understand dye-making and didn’t leave a first name but who did collaborate with a dude who tried to actually, in real life, buy Castle Frankenstein in order to make an elixir of life in it. I’m not saying that the most logical conclusion is that Diesbach was a time-traveler who destroyed all evidence of other blue-making processes in order to get credit for his shitty one. I’m just strongly implying it.