The Great Blue is the subject of a Lorwardian prophecy which Warmonga spent time seeking. The true Great Blue was never seen on Earth.
Having traced back to Earth a television signal which featured Dr. Drakken performing his Rinse, Lather, Obey! brainwashing shampoo, she initially believed him to be The Great Blue and pledged her loyalties to him as her prophesied leader.
Eventually she was tricked into leaving Earth by a transmission of either Jim or Tim in a blue-colored Pep Puppy costume instructing her to a rendezvous at Neptune. At which time she turned on Drakken in anger at his allowing her be be deceived.
Although never confirmed, theories as to Ron actually being The Great Blue have found support in his Mystical Monkey Power expressing as a blue aura, making him appear to be blue as well.