The frequency of a simple light wave is directly related to its colour (cf. spectrum). For the highest possible frequencies of visible light, the colour is blue-violet. If the frequency of a light wave is shifted towards higher frequencies (for instance by the doppler shift), that corresponds to a colour shift towards the blue-violet end of the spectrum, and is hence called a blueshift.
In the light of that, the term ‘blueshift’ has acquired a more general meaning. It is used to refer to any shift towards higher frequencies, including types of electromagnetic radiation where the frequencies do not correspond to any visible colour, and more generally to other types of waves (for example, gravitational waves).
See also redshift.