Why do objects appear blue while on a neutron star?
Your suspicion is right, the term is gravitational blueshift.
Going down a gravity well, photons gain energy, pushing their wavelengths in the blue direction. The opposite would be gravitational redshift observed when photons climb out of a gravity well.
In terms of general relativity, when you observe the world from near the neutron star, time appears to go faster outside the gravity well, and therefore arriving wavelengths are blueshifted.