Depending on the quality of the shrimp you may have been a little ripped off it’s a blue velvet too

but that’s normal. Shrimp are always more expensive in a shop. You’re covering overhead, losses and shipping in the price of the shrimp.
Can’t wait to see a picture. Could be a very dark blue, a chocolate, a black rose. Hard to know without a picture but in general the darker the shrimp the higher quality it is, regardless of what color family it belongs to.