Blue Christmas by Elvis Presley is featured in Extraordinary Merry Christmas, the ninth episode of Season Three. It is sung by Rory.
He sings it about his family in Ireland and how much he misses them. The New Directions sing along and watch, but Santana comments at the end that it was completely "depressing" and that this Christmas should be happy, because the Glee Club's last Christmas was filled with horror.

Lyrics
Rory:
I'll have a Blue Christmas without you
I'll be so blue just thinking about you
Decorations of red on a green Christmas tree
Won't be the same, if you're not here with me

Rory with New Directions harmonizing:
And when those blue snowflakes start falling
That's when those blue memories start calling

Rory (New Directions):
You'll be doin' all right, with your Christmas of white
But I'll (I'll have a blue) have a blue, blue blue blue Christmas

Rory with New Directions:
Ah-Uh-uh-uh-uh
Ah-Uh-uh-uh-uh

Rory:
Decorations of red on a green Christmas tree

Rory with New Directions harmonizing:
Won't mean a thing, if you're not here with me

Rory with New Directions harmonizing:
I'll have a Blue Christmas that's certain
And when the blue heartache stops hurting
You'll be doin' all right, with your Christmas of white

Rory (New Directions):
But I'll have a blue blue Christmas
(Uhhhh) Uh-uh-uh-uh