Why is Skipper wearing this blue shirt thingy in Rock-A-Bye birdie?

Ok, I totally loled and rofled at this question. XP
That's his baby feathers because, quote: "Baby penguins are born completely covered with gray plumage, which is lost as they grow to get the countershade black and dart plumage which most of us know." - From link

The "blue" that you speak of is more of a blue/gray, so it's not completely wrong. It's their version of gray plumage, as so is the black and white part of the penguins; PoM has a unique plumage that is not comparable to any other species of penguin, idk why, but it isn't.

thats not a baby shirt.
baby penguins when the first hatch,they dont have white and black fethers at first... the have grey fethers. the white ones grow when the get older.
why is in blue in POM? I dont know about that though...

penguins born with grey feather.and,look,the feathers almost like skipper's(or petey?)shirt

Petey hasn't grown his adult feathers yet. You could compare Petey to "baby penguin" on Google Images.

Well, it's not a shirt. Those are his feathers. If I remember correctly, some species have penguin have blue-ish feathers on the front when they're born. Or I'm getting that mixed up.

As with the others who have answered this question, the "shirt" was nothing other than the down feathers of young Skipper. Although when I first saw a still image of the little guy in the episode (from the Catalan version), I did briefly believe he was wearing a sweater of some sort, but then realized my error as soon as other images of him began showing up.