Contrary to popular belief, Neptune is not a deep, oceanic blue. It is actually only very faintly blue, arguably off-white, like Uranus.
Its namesake being the Roman god of the sea is complete coincidence. It has nothing to do with its colour. Neptune was simply the most important Roman god yet to hold dominion over a celestial body. Nobody really knew what colour the planet was anyway until the 1980s.
You have almost definitely seen the photograph that started this myth. It shows Neptune in a dark, commanding azure, with flecks of white cloud and deep navy patches that seem to sink right into its core. But this colour is entirely made up. When the Voyager 2 space probe took that photograph in 1989, it did so with black and white cameras pointed through different-coloured filters. It was up to ground control to recreate the colour back on Earth, and they valued contrast more than accuracy. A darker blue made it easier to study the planet's layers and storms.
It is not difficult to understand why we chose to accept the exaggerated version as fact.
A dark, azure Neptune is foreboding, but familiar. It is an ocean. An inconceivably fierce and vast ocean, but an ocean nonetheless. It sits at the edge of all we know and promises us that what's out there is more of the same. It promises us that there are seas yet to sail, coastlines yet to chart, sailors yet to lose.
But Neptune is neither dark nor azure. It is pale, cold, and sickly. It is a world where giant ammonia storms kick up clouds of frozen methane. It is a world entirely without liquid water. It is a world without a firmament, where no god has ever had had the initiative to carve its layers of hydrogen from its layers of helium.
We sent Neptune, who spent the first 2500 years of his life on the Tyrrhenian coast, with his feet soaking in warm rock pools and his hair tossed and salted by the breeze that skips across them, to explore the planet furthest from our sun. He has spent the 180 years since in a state of total immobility, floating through its storms, buffeted by whirlwinds of hydrocarbons, eyelids propped open by crystals of hydrogen sulphide.