The blue pill is likely an addictive prescription drug like a benzodiazepine or oxycodone. The blue hands are a likely reference to heroin overdose.
A SiriusXM blog post quotes Halsey:
My song "Colors" [released in 2016] is about being in a relationship with someone and kind of watching the vibrancy slowly start to leak out of them ... whether they’re falling victim to drugs or ....
Further, an article published by the UK's Capital FM...
Halsey and Matty Healy from The 1975 dated in 2015 and it's widely suspected her song 'Colors' was written about him while her debut EP, 'Room 93', was named after a hotel room the pair had spent a night in.
The site SongMeaningsAndFacts indicates that
It is noteworthy that Halsey and Matty Healy were in relationship in 2015. Around that same time, Healy was battling heroin addiction.
Regarding heroin addiction, the Crestview Recovery Center says:
When there is too much heroin in the body, there can be a lack of oxygen in the blood. Therefore, blue skin and nails can be a clear sign of a heroin overdose.
A 2018 article in Rolling Stone describes Healy's drug abuse:
Healy was sinking deeper into abusing opiates and anxiety meds.
And Billboard contains additional information in that regard:
He found himself ranting over dinner one night, under the influence of benzodiazepine....
Both benzodiazepines (generally) and oxycodone (specifically — a likely candidate for an opiate addiction) come in blue pill form.