Although Dream Thief says it looks for "another blue spell," there's no requirement that Dream Thief actually be cast as a spell (or be blue) for this part of its ability to work. For example, if a spell such as Zombify puts Dream Thief directly onto the battlefield, its ability will still check whether you've cast a blue spell this turn, even though you didn't cast Dream Thief itself as a spell.

Dream Thief doesn't check whether you've cast another blue spell until its "enters" ability resolves. If Dream Thief's "enters" ability triggers, then you cast a blue instant spell in response, you'll get the bonus.