Of what did they taste?

[the guy who be short]

Now, humans taste like pork (pig).
Dwarves are small, hairy, aggressive humans.
Warthogs are small, hairy, aggressive pigs.
Dwarves taste like warthog.
Quad erat demonstrandum.

In German, at least, (don't know about other languages) the term "blue", when used in cooking, refers to preparing a fish (trout, especially) in an infusion of vinegar. So if applied to the Blue Wizards, that would mean that they taste sour rather than bitter.

Most likely, considering Tolkien's love of Germanic languages.