Since frescos are part of walls, this architecture thread seemed an appropriate place to post this. Here's some information I came across on how frescos are made.

"Wall paintings were generally produced by brushing the pigment, mixed with a little water and gum, onto wet, fresh plaster -- the technique is now known by its Italian name, fresco("fresh"). The plaster for wall murals was typically made from sand and lime. The lime binds the sand grains as it dries and is then slowly tranformed in air to chalking calcium carbonate. The pigment is applied as a wash over the pnultimate layer of wet plaster, and a final thin layer of plaster is applied over the top. The pigment becomes dispersed and fixed in the plaster as it dries. This method tends to produce colors with a slightly chalky appearance."

Ochre, an earthy usually red or yellow and often impure iron ore, was used as a pigment for reds and yellows. Ground Lapus Lazuli was used for blue pigment, at least on the sarcophagus at Agia Triadha. Carbonaceous shale or charred bone was used for black.
Source: Minoans, Life in Bronze Age Crete, Rodney Castleden, Routledge, 1993

I believe that blue had other sources besides Lapis Lazuli. I would imagine that the source would be some copper based material, but I have not yet found information on what that would be.