Cobalt Blue was a downtown Monument City venue; possibly a night club, bar, or dance club.
Dana outside of Cobalt Blue.
It was in the back alley behind the establishment that Dana Sterling took refuge after leading an impromptu "practice drill" that not only lead to a physical confrontation between her own squad and the squadron under the command of Marie Crystal, but also lead to Dana herself toppling over a GMP security mecha. All of which, of course, put Dana in violation of several Southern Cross regulations.
Eventually, a detachment of GMP officers, under the command of Nova Satori, tracked Dana down, arrested her, and placed her in the brig (Masters Saga: False Start).