The term for the music didn't come from any meaning of "blue" meaning "sad", rather it came from what's called "a blue note", which is a note that's halfway flat. Originally, the blues diverged from other musical styles in part because of its extensive use of these "blue notes".
It's theorized that "to be blue" meaning sad came from the often-sad lyrics of the blues, but there's never really been a clear link between the two.
However, "blues" as a music form DOES predate the use of "blues" meaning sadness, so to answer your question, the music came first.
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Was 'The Blues' known as a term for depression or music first?
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