Wait, "blo" as is "blow" or "blue"? English is stupid language...we have no accents to show which form of a vowel we're using. I'm assuming "blow", as that makes the most contextual sense, but again, English is dumb.
Edit: well, kinda. the sound doesn't exist in English but the closest i can think of is the o-sound in "score". and there's no diphthong, which is why people tend to write "blo-". it's a flat sound, which English sort of doesn't do.
They don't have one for blåhaj, but Wiktionary has an audio file of someone pronouncing blå (blue) in Swedish. The second half of blåhaj sounds like English "Hi," and the phonemic transcription of the full word is /ˈbloːhaj/. The /bloː/ part is kinda like how someone from Glasgow or someone with a strong German accent might say "blow."