Preheat your oven to 375°F (190°C) and grease a 9x9-inch baking dish.
In a large bowl, whisk together the flour, granulated sugar, baking powder, and salt.
In another bowl, mix the milk, melted butter, egg, and vanilla extract until well combined. Add the blue food coloring and stir until evenly mixed.
Pour the wet ingredients into the dry ingredients and stir until just combined. Do not overmix.
On a floured surface, roll out the dough into a rectangle about 1/4 inch thick.
In a small bowl, combine the brown sugar, cinnamon, and crushed Oreo cookies. Spread the softened butter over the dough, then sprinkle the sugar mixture evenly on top.
Starting from one long edge, carefully roll the dough into a tight log. Slice the log into 1-inch thick rolls and place them in the prepared baking dish.
Bake for 20-25 minutes or until golden brown. Remove from the oven and let cool slightly.
While the rolls are cooling, prepare the frosting by mixing the softened butter, powdered sugar, milk, and vanilla extract until smooth and creamy.
Spread the frosting over the warm cinnamon rolls and sprinkle with additional crushed Oreo cookies.