It’s testicular discomfort after being sexually exited for a while (with erection) but the act does not take place or you are not able to finish. You absolutely can blue-ball yourself btw.

Another important note: nothing actually turns blue.

Edit: further details

• once you have blue-balls, jacking off won’t help. All you can do it wait.
• I’ve also experienced blue-balls even though I finished, when things are rushed, either by myself or with a partner.