The most common and most likely answer to this crossword clue is the 9 letter word METEORITE
I've seen this crossword clue in The Daily Telegraph
M
E
T
E
O
R
I
T
E
More clues leading to the result METEORITE
Buddy explains!
The straight part
We know that "It comes as a bolt from the blue" is the straight/definition part of the clue. The straight part is often a synonym or definition, in this case it comes as a bolt from the blue = meteorite.The cryptic/wordplay part
In cryptic crossword there's often an wordplay/cryptic part as well.This part involves a more complex hint, such as an anagram, homophone, hidden word, etc.
Sadly, We don't have an explanation for this specific crossword clue yet.
What does METEORITE mean?
METEORITE noun- A metallic or stony object or body that is the remains of a meteoroid.