This colour is often named with the phrase
saxe blue, rather than simply
saxe. Also, the term's origin being related to Saxony, it is sometimes written with a capital letter.
Nevertheless,
saxe is listed in the online Oxford, with the note "also saxe blue". This is one version of what it looks like:
Your comment that the colour "used to be very popular" seems about right, anona - at least as far as the name is concerned, because I didn't find a lot of usage examples. Here's one, from the New Zealand publication
SunLive:
Her soft saxe azures, salmon pinks and hushed sage greens soothe and relax the mind and draw the eyes into the deeper layers.
I'll add
saxe as a rare word.