It's probably because your blue color is not the 255th color of the palette as seen in Wally when the texture is within the WAD, not within Photoshop or whatever you're using to edit the BMP outside the WAD (chances are it's a 24 bit bitmap in which case you have quite a lot more than 255 colors, which are then converted to a 255 color palette when you drop it into a WAD.)
Go under the Color menu and select Edit Palette to see what the texture's palette looks like. If it's wrong you go under the Colors menu again and click Translate Colors to swap the indexes around so the blue color you used for transparency is actually the 255th color. Use the eye dropper tool over whatever area you want and it'll even tell you if it's in index #255 or not.