1
general::
Also, into the blue. Completely disappeared, as in The report was here on my desk and now it's gone, vanished into thin air, or I don't know where they've gone? into the blue, for all I know. Both of these hyperbolic expressions, often preceded by vanish as in the first example, use the rarefied atmosphere far above the earth as a metaphor for an unknown location. Shakespeare wrote of ghosts that "melted . . . into thin air" (The Tempest, 4:1). An antonym for both is out of thin air, meaning "from an unknown place or source." For example, She made up this excuse out of thin air, or The car appeared out of thin air. However, out of the blue is not precisely an antonym (see under OUT OF A CLEAR BLUE SKY).
American Heritage Idioms