Frozen prawns - blue dye
The color should not be a problem for you as long as red coloring in beef packaging doesn't bother you.

That's right, that blue dye is blood. Crustaceans, like the prawn, crab, and lobster, and horseshoe crabs have hemocyanin in their blood to transport oxygen instead of hemoglobin, which we have. Hemocyanin has copper in it to give it its color rather than the iron hemoglobin has. 

So to answer your question specifically: Yes, it is normal.