The same is true for all colors. Tell me the color of a single atom.

Yes, air can be colors other than blue at unusual light conditions, like sunset. But the same is true for any material.

You're stuck on the urge to explain. You call "the air is blue" incomplete. But all answers are incomplete. When someone asks what color an object is, they mean under ordinary distances and conditions. Air is blue even in an ordinary room. It just takes miles worth of air for its slight blue color to be noticeable.