Cobalt (II) chloride is blue in the anhydrous form but changes pink in the presence of water. This chemical is often used as an indicator in desiccants (e.g., silica gel). As a bonus it's pretty safe to handle and easy to find commercially. E.g., here is the hydrated form, which you should be able to dry (turn blue) by heating in an oven.
http://www.amazon.com/Cobalt-II-Chloride-Hexahydrate-grams/dp/B00IS8QDR0Placed in a moist environment, it will change back to pink again.
It's not exactly what you are looking for but it seems from your intended use that the actual colors involved don't really matter.
I do not know of any similar compounds that change from blue to colorless in the presence of water, but that doesn't mean there aren't any. There are a lot of indicators that change colors in the presence of water and oxygen, but a lot of them require synthesis or fabrication in a lab.
NB: Copper 2 sulfate, which is experiencing a lot of interest right now by the art community (look
here), will change from grayish white (anhydrous) to deep blue (hydrated), so this might be another option. You can do a lot of other neat experiments with this chemical as well.
http://www.amazon.com/Copper-Sulfate-Pentahydrarte-99-Crystals/dp/B007HU4Y5I