'Blue nose' was a phrase used in the past to describe someone who was excessively puritanical. Rangers is the team supported by the Protestants in Glasgow, as opposed to Celtic, who are supported by the Catholics. Protestants tended to be very puritanical in olden days, so the name probably just seemed to fit Rangers supporters...plus, the team wears blue shirts. Of course, neither fan-group is particularly religious, really, but what the hey!