Daniel is correct. The Caledonian Blue scheme was used by Schenetady only. It was meant to be a tribute to the management's Scottish homeland (Caledonian Railway). Brooks and Rogers did turn out blue locomotives early on, though they may have been different shades of blue and crimson. In those days every builder turned out products in schemes specific to their company (unless ordered in a different scheme).
The closest thing CP operated to a Steven's locomotive in that color would have been the 4-6-0s they ordered from Schenectady. I can't find a photo of one of them at the moment, but here is a colorized view of a Rogers 4-6-0 at Rocklin in a familiar scheme.

- OSullivan_Rocklin_USGS_d2.jpg (98.56 KiB) Viewed 146123 times
Central Pacific operated an assortment of paint jobs early on and eventually settled on an Eastlake inspired brown scheme by the early 1870s. The original scheme had some scroll work on the domes and tender which were applied only to the locomotives painted early in the 1870s.
Here is the same locomotive, repainted to the CP standard scheme.

- CP 82 sm.jpg (135.98 KiB) Viewed 146123 times
All CP locomotives would have worn some variant of this brown scheme prior to 1885 when the base color was changed to black after Steven's death. After Steven's death the CP stopped building locomotives from scratch. The SP would later revive the practice and build more modern locomotives in the 20th century.
Incidentally, the mid-1880s was a time of color change on the CP as the passenger equipment colors changed from Yellow to Tuscan in 1883. At the same time, cabooses were changed from Yellow to "Red" which may have been a bright red, or more likely a variation of the mineral "red" color used by the SP in the 20th century.