This is what the Dragon handbook has to say about the Blue Dragon:
Blue (MM) 6HD/4LA small – breath weapon: electricity, bluff and spellcraft as class skills. The ECL sucks, but it has the skills to qualify for Ur Priest right out of the box, and so can make for a decent CoD-zilla type at high levels with a bit of cheese.
If you do want to give it class levels, not making it in Ur-Priest would be a crime! It's even spending time with Daenerys!
However, I would prefer not having yet another XP sink around. Therefore I would prefer just giving it a Sovereign Archetype (those come through training alone, no XP) and letting it grow in power with age.