What do the Blue soldiers say when they spot you?

They introduce themselves as 'Schutzstaffel' (Protection Squadron), the paramilitary organization better known as the SS. In the source code as released by id software the sound file is referred to as SCHUTZADSND.

Strangely enough the famous blue sprite doesn't look like any version of the historical SS uniform. This was changed in the Spear of Destiny mission packs, where this enemy type adopted a black uniform. The health definitions in the source code also does confirm these enemy types are meant to be SS troopers:

25, // guards
50, // officer
100, // SS
1, // dogs