I started reading Brandon's works in 2015 and have been following the community on and off since then. Finally decided to start contributing here in 2019. I'm new to editing wikis, so I'm mostly going to be using this for figuring that out.
During the Siege of Kholinar, Shallan sees Hoid in a market telling a folk tale about the queen and the moon Mishim. In the story, Mishim first tries to convince the queen to swap places with her by enticing her with descriptions of the marvelous sights of the heavens. Tsa turns down all of Mishim's advances, however, by telling her that such sights are not for mortals. Finally, however, Mishim convinces Tsa to trade places with her by telling her that one of her towers has a flaw that is only visible from above. Mishim warns that this swap will be dangerous, as they must conceal it from the moon Nomon, and Tsa promises to pretend to be Mishim and to look only on her towers.
Mishim spends her night among mortals partying and is so caught up in the festivities that she did not remember that she had to return to the sky until the sun had already risen and Tsa, as the moon, had already set. As a result, she has to spend the next day on Roshar, during which she fears her siblings will discover what she had done and comes to understand the emotion of anxiety. Yet when Salas and then Nomon rise, neither call out to chastise her. At last, when Tsa rises, she calls out to the queen to ask what had happened. Tsa replies that the other moons realized what had happened as soon as the two had swapped places and that they had welcomed her with feasts and songs, which makes Mishim begin to worry as her siblings had never interacted with her like that before. Tsa then remarks that she might stay as the moon rather than return to Roshar, which prompts Mishim to understand the emotion of loss. Mishim attempts to argue that Tsa must return, because, by looking at the constellations and listening to the starspren, she has broken her promise to look only on the towers. Tsa replies that her promise is not broken, for Nomon himself gave her permission to do so, but eventually relents and agrees to return to Roshar.
As Mishim sets that night, however, she is confused, as she hears a song she has never heard before, which she describes as "a song of laughter [and] of beauty." A few months later, when she is passing over Tsa's city, Mishim understands this song as she sees Tsa holding a baby boy with faintly blue skin and realizes that she was tricked. Tsa wanted to spend a night in the heavens so that she could have a child by Nomon, whom the people of Natan held in high regard. Thus, the story explains why the people of Natan have blue skin and also, according to Hoid, why the "still crafty" Mishim has never tried to leave her place in the heavens since then.