Why are porn films called blue films?

It's unknown:

Why off-color movies were called “blue” remains a matter of conjecture. Although one definition of “blue” has been “lewd” since the 19th century, its application to movies might have referred to the 19th-century Blue Laws morality codes and state and local laws based on them, of which dirty movies would certain run afoul.

Other explanations include the bluish tint of the early cheaply made black-andwhite movies, and the bluish cigarette and cigar smoke haze in rooms where men gathered to watch such films (the get-togethers were in fact known as “smokers”).

“Blue” faded over the years and was replaced by “dirty movie, “adult film,” “skin flick” and “hard- or soft-core porn.”

This blog post looks at the use of "blue" in this context:

Nobody really knows, as it turns out. The origin of blue in the sense of lewd, coarse, or pornographic has been tough to pin down: etymologists have put forward a bunch of theories but haven’t found anything conclusive.

The English Language & Usage Stack Exchange has a question about the term "off-color" where some of the answers also refer to "blue".