Watch the Adding the Blue Note online guitar lesson by Fareed Haque from Jazz Rock Workshop
If you get a chance check out some of the early African music recordings from the Smithsonian folkways field recordings, there are some cool recordings of African 'Banjo' from 1890s or so.
It is amazing stuff that the legendary Paul Berliner turned us onto in Ethnomusicology 101. The "Blue" note has definitely been around for a long time before it came to America.
Check out The African Roots of the Blues 1, 2, 3