I have seen pictures of Mario riding a blue Yoshi in Super Mario World. Are these just edited pictures or is it actually possible to get a blue Yoshi?
It is possible. There is a green (standard) Yoshi, Blue Yoshi, Yellow Yoshi, and Red Yoshi. The Blue Yoshi will fly when it has a Koopa shell or whole Koopa in it's mouth. The Yellow will be able to stomp the ground and harm enemies. And the Red Yoshi will spit fire that spreads across the screen turning some enemies into coins.
You can get Blue Yoshi on the following levels:
Star Road 2, Cheese Bridge, Valley of Bowser 2, and Way Cool (Special World).
Baby Blue Yoshi will be on Star Road 2. The rest you'll need to take another Yoshi into the level and hit a block that will provide wings. You can use the wings to transform Yoshi and enter a bonus type of area in the sky.
And if I remember correctly, you should be able to exit the Blue Yoshi flying area just by dropping into the bottom of the screen.