The Collaborative International Dictionary of English v.0.48:

Blue Hen State \Blue Hen State\
   The State of Delaware; -- a popular sobriquet. It is said,
   though the story lacks proof, to have taken its origin from
   the insistence of a Delaware Revolutionary captain, named
   Caldwell, that no cock could be truly game unless the mother
   was a blue hen, whence

   Blue Hen's Chickens came to be a nickname for the people of
      Delaware.
      [Webster 1913 Suppl.]