What pigment is responsible for the formation of blue skin color in some animals?
Blue coloration in animals is caused by structural color rather than blue pigments. In the case of vervet monkeys and other mammals studied this is due to collagen fibers in the skin being arranged with a regular spacing that results in blue wavelengths constructively interfering while other wavelengths destructively interfere1.

This "news" article in Science discusses this phenomenon and mentions Vervet monkeys. 

Reference:

1: Prum, R. O., &amp; Torres, R. (2004). Structural colouration of mammalian skin: convergent evolution of coherently scattering dermal collagen arrays. Journal of Experimental Biology, 207(12), 2157-2172.