Pearl Cleage wrote “Blues for an Alabama Sky” in the mid-1990s, and it is astonishing that it has taken so long for a play set at the cusp of the Harlem Renaissance and the Great Depression to make it to New York. Thanks to the Keen Company, the wait is over, and this production makes the wait worthwhile. Angel (Alfie Fuller) is a singer living with Guy (John-Andrew Morrison), a flamboyant costume designer and unapologetic gay man whose ambition is to design costumes in Paris for Josephine Baker. Across the hall lives Delia (Jasminn Johnson), who campaigns for reproductive rights and