The answer is here.
In the article "The structure of the energy bands and optical absorption in osmium" (Sov. Phys. JETP 63, 115 (1986)), Nemoshkalenko et al. report measurements of the complex refractive index of osmium (which can be extracted from reflectivity and related to complex conductivity). Unlike cubic metals such as gold, osmium has a hexagonal crystal structure, which means that its optical properties are not isotropic. Light with electric field in the plane of the hexagon ($\mathbf{E}\perp \mathbf{c}$) has different reflectivity than light with electric field perpendicular to the hexagon ($\mathbf{E}\parallel\mathbf{c}$), where $\mathbf{c}$ is the lattice vector normal to the hexagons.
Check out Figure 1(b), which is the measured reflectivity (the visible range corresponds to ~1.75-3 eV). As @JohnRennie pointed out, there is a reflectivity dip in the red (what the authors call absorption band B), especially for $\mathbf{E}\parallel \mathbf{c}$, which leads to a bluer color.
The authors explain this behavior by computing the band structure of osmuim. They find that the theory predicts the absorption band B to occur due to a couple of electronic transitions (their bands $7\to 8$ and $8\to 9$), which they describe as $d\leftrightarrow p$ type transitions.
As is usually the case with metals, the color is described by interband absorption. Essentially, you have a crystal with a mess of energy bands, the details of which are resulting from the type of lattice, the various electron orbitals in each atom, the couplings between them, and other interactions like spin-orbit coupling. For low energies, the conductivity is typically dominated by free-electron (Drude-like) behavior. When the photon energy matches the energy difference between an occupied and an unoccupied band, you get interband absorption. This is, for example, why copper and gold have their colors, but platinum and silver appear colorless (Pt and Ag don't have interband transitions in the visible range or lower). For osmium, apparently a band with $d$-orbital character is full of electrons, and with photons in the 1-1.5 eV range (with $\mathbf{E}\parallel \mathbf{c}$ to make the matrix elements work out) you can promote those electrons to another band with $p$-orbital character. What's a little interesting about osmium is that there are a number of lower-energy (infrared) transitions too, which distinguishes it from Pt, Ag, Au, Cu, etc.