There is an underground appreciation of blues music here, you have to go to open mike nights and small bar gigs to hear it though. Also - although they may not know it all the rock bands in China are blues fans due to rock music essentially being based in blues major/minor scales! 

There are a number of Jazz clubs in Shanghai.  I'm guessing they would play blues there too.  

I saw a group of people playing brass instruments outside a shopping mall. They had a saxophone, trumpet just to name a few of the instruments I saw them playing with. Also, if you go to some restaurants that have live bands they usually play blues music!

When I was in Shanghai 2 years ago I walked past a jazz and blues club. It was in an area about 10-15 minutes walk from the Bund. Lots of older homes and many musical instrument stores. Sorry can't recall the name of the area. As a big blues fan I would have loved to see a few shows there just to get a feel for the type of audience reaction this music received.