Der Blau Reiter was an early 20th century German artistic movement named after the Kandinsky painting pictured above. The painting is from 1903, but the movement did not come into full swing until about 1911. Kandinsky believed that blue is the color of spirituality: the darker the blue, the more it awakens human desire for the eternal(see his 1911 book On the Spiritual in Art).
Artists in this movement believed in spiritual connection between art and music. They melded modern approaches with traditions of art through the ages bringing a unique credibility to both new and old.
It's no wonder that the band was inspired by this art form, and took its name from this movement.
Blua Reiter art was a German invention. Don't forget - Cincinnati has a strong German heritage as well!