I have read that vinegar will remove the blue markings, even if they have been heat set. I'd probably try that on a spot first.
Another possibility mentioned in a recent QB thread is cream of tartar, apparently used to remove those blue marks used for embroidery patterns and which also removed rust stains. If you Google this use of cream of tartar, you will see that it is usually mixed with something else -- such as vinegar, or lemon juice, or hydrogen peroxide. I'd try mixing it first with 1:1 with vinegar if vinegar alone doesn't work. I believe hydrogen peroxide can weaken fabric fibers, just as bleach can, so I'd be more judicious about using that.