Forgive my ignorance on this. I do not know much about what was done to ancient artefacts of paganism and/or cruelty that were not totally destroyed. A place in where much evil had been done as the Colosseum would certainly be up on the list for blessings, I would imagine. But I haven’t heard whether or not it actually had been blessed.
I do recall hearing something about popes celebrating Mass nearby the Colosseum, but I haven’t heard about whether or not the Colosseum itself has been blessed.