Four short lines, four anxious questions. The speaker seems to be replaying a moment in their head, convinced they've caused some kind of problem but unable to say what it was. Nothing is explained. We don't know who the speaker has upset or what has happened, and that gap is part of the point: the poem sits inside the nagging, circular worry of someone searching their own behaviour for a mistake.
The last two questions are the most interesting. "Too blue" and "too gay" are opposites, sadness and cheerfulness, so the speaker is afraid of getting it wrong in either direction. The asterisk and the note "happy" make this clear, since "gay" is glossed as simply meaning cheerful. Judging by the pairing, the speaker feels there is no safe way to behave. The mood is uneasy, vulnerable and a little raw, and the neat rhymes and short lines make the self-doubt sound almost like a childlike chant.