Continuity mistake: Towards the end when Bruce takes the cat, the wounds on his left cheek change from faded to fresh.
Continuity mistake: In the opening, Penguin's parents look at the cage holding him. From the outside, his shaking is making the cage move slightly side to side. From inside, his shaking is not moving the cage at all.
Answer: It isn't. If you look at when he dies you will see that he has cuts on his face that are bleeding red. The blue liquid is more like a bile, probably similar to saliva.