With a mixer, beat heavy whipping cream until thick.
Pour in sweetened condensed milk and vanilla and fold in until smooth. Add blue gel food color and stir to get the shade of blue you desire.
Next, spoon half of the ice cream into a freezer safe container. Top with half of the cookies, slightly crushed up. Repeat layers and top with remaining cookies.
Freeze for 5-6 hours or overnight. When it is time to serve, remove the container from the freezer and let sit on the counter for 5-10 minutes before serving to soften.