The brimstone which is sulphur when burned gives off a blue colored flame that makes the lake of fire look like a blue lake. See article at
(One thing that I disagree with in the above article is that a person cannot physically die in the lake of fire which I completely disagree with since God can destroy both the body and soul in hell. Therefore, there is no reason why He can't destroy the resurrected physical body in the lake of fire while still leaving a person conscious and able to feel his torment.)
Matthew 10:28, "And fear not them which kill the body, but are not able to kill the soul: but rather fear him which is able to destroy both soul and body in hell."