The Blue Adobe Wall is a smooth muted greyish blue building-block. It can be crafted in your Crafting Menu (default key "Q") or at Crafting Tables (that still exist in worlds created before R22 on September 16th 2015), but only after the recipe has been unlocked upon finding a rare Recipe. This recipe can be obtained from Keepas (mainly as Pets), can be found in Obsidian Treasure Chests on the Stalactite layer underground or in Diamond Treasure Chests spawning in the Corruption layer or on corrupted blocks in the dark. It's likely that this recipe can also be obtained from Things and Iron Treasure Chests.