Jester was blue because....
Her father, The Gentleman, is a water genasi.
The above relationship is well known, but as the cause for Jester's coloration and resistance to cold damage, Jester concludes that it is the reason for her color in episode 34, "Encroaching Waters":
LAURA: (gasps) My dad is from islands! At least he was. Did you know my dad might be The Gentleman?
ASHLEY: You mean–?
TRAVIS: Yeah, that happened.
SAM: The moist guy.
ASHLEY: The guy that sweats all the time?
TRAVIS: Has all our blood.
LAURA: (whispering) That’s why I’m blue!
LAURA: I know!
LIAM: It’s probable. It has not been verified.
While Liam (in character as Caleb) says it has not been verified, Matt and Laura would later confirm this on Talks Machina discussing the events of episode 34 (timestamped youtube link):
BRIAN: When coming up with this iteration of Jester, you modified some of her tiefling racial traits. Did you intend for these to be tied to jesters father when making Jester [...]?
LAURA: Before I had decided on Jester, I had thought about making a water genasi character. And, I was thinking of doing a water genasi warlock. Maybe she's got some of that in there and she just doesn't know it or something.
MATT: We were at your house working on the specifics of Jester, and you were like "well is there like a possible crossover between the two bloodlines", and I was like "sure, it would change and adjust things a little bit." Skin tone would make sense, resistance wise, I like to think that it wouldn't be one or the other, it would kind of go in a different direction based on that shift. And so that's why she has cold resistance over fire resistance. [...] And the fact that when you do Hellish Rebuke it's cold damage as opposed to fire damage. So it's all just kind of this unique merging of those two bloodlines.
Lillith had albinism.
Kit Buss, Lillith's player, stated in her answer that Lillith had albinism. This was confirmed on stream by Matthew Mercer in episode 91 of campaign 1, "Vox Machina Go to Hell" at around the 1:50:11 mark (youtube link, episode transcript):
MATT: You have encountered an albino tiefling
TALIESIN: We have.
MARISHA: Have we?
LAURA: Lillith was an albino?
LAURA: That’s why she was so pale.
MARISHA: She was so cute!