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.
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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!