Here is all that Tolkien has written about them:
Middle-earth FAQ: The 'Other' Wizards
There are two vague references to the Blue Wizards - one in the section on the Third Age in the published
Silmarillion and the other in
The Lord of the Rings when Saruman speaks of the staffs of the Five Wizards.
The only writings Christopher has supplied us with (and what I presume to be the only writings period, whether published or withheld by him) that speak of the Blue Wizards are in The Istari chapter of
Unfinished Tales and a smaller section in the History of Middle-earth, Volume XII.