That has more to do with RGB -> YCbCr conversion, and how much blue contributes to Y (brightness). If you quantize YCbCr down to 8-bit range (0-255 range), you'll get RGB colors that can't survive a round trip back between RGB and YCbCr, but I don't think blue is particularly worse there.

JPEG is a different thing, first it does RGB -> YCbCr conversion, then it splits the image into blocks. Wikipedia article shows a good diagram of the 64 possible DCT blocks. Each image block becomes a linear combination of the DCT blocks. You did that for the Luma channel, then you do the same thing for the Chroma channels. It's even common to reduce the resolution of the chroma channels (chroma subsampling).

Then JPEG means that you are deleting information that is less popular after you've made your blocks. Often throwing out more information in the chroma channels than the luma channel. You're left with ringing (high frequency noise to fill the block), and blocking (differences between edges of adjacent blocks). Better compression codecs have ways of mitigating blocking and ringing.