Thanks people for the kind comments. Indigo is a shade of the color blue. Mood Indigo is a song written by Duke Ellington, sung by Nina Simone - and it's about being--- blue. "You ain't never been blue till you've had that mood indigo" Since the musicians are bathed in blue (indigo) light - and featuring a woman (Nina Simone?) - Mood Indigo!
BTW this is one painting where the photo doesn't do it justice. It's much stronger -evocative than the photo.