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.