So, I read an excerpt from Smith's North American Species of Mycena regarding a blue tinged north amaerican mushroom and, analogizing from that and my observations in Chile, wthe only thing that's totally clear is that a variety of fungal structures - including the mycelium leading to the the fruiting body, as well on cystidia on the cap of the mushroom, all bear microscopic elements of the color.
But I can't find right now any indication about what chemical process creates that color. I am guessing that it is a chemical process rather than a physical one like you sometimes get with chitin ir feathers and things, but I don't rightly know with any specificity.
I wonder if it has an indole alkaloid or some chromophore distinct from psilocin/psilocybin. Since the blue color appears in intact cells (i.e.not after injury) there might be a new biosynthetic pathway, new enzymes, etc.
I think your instincts are right here. I found this research paper from 2007 behind a paywall, but the abstract talks about finding a new blue pigmented alkaloid in a different species of Mycena.
Searching Mycena interrupta or cyanocephala and alkaloids or pigments turns up nothing. More than likely that kind of chemical analysis hasn't been done, but I would not be at all surprised if you were correct abd that new alkaloid compounds were found.
Thanks for looking in to it!