I'd say that most blues songs aren't that sad at all. When I'm feeling down I don't play the blues, I usually noodle around some haunting minor-key melody. Listen to the blues scale and compare it to Am, which sounds more sad to you? I find that in comparison, the blues scale sounds almost happy.

I think the blues scale is kinda satirical, it isn't really sad, it's almost uplifting. Maybe that's why people feeling down in the dumps play the blues, not to express sadness but to lift their spirits.

Don't get me wrong, there are a lot of sad blues songs, slower stuff. I think B.B. King made some real sad stuff.