I've not necessarily noticed the deep dark blue effect - but I have noticed the visual obsession with the colour. Everything Lumon is mostly blue. My guess would be it's mostly the set design and art department being told to give everything a 'dark blue' - and this would probably be aided with some very talented colourists, who are just colour grading the footage to make the blues darker. So, yes, it is essentially a blueish filter and is done in post production.