I know that this is a parody of Code Geass with Kirby and Touhou but who is the blue guy?

I think it's supposed to be a sort of stylized King Dedede.

why Kirby though o_o

This is based off a NicoNico Doujin.

http://www.nicovideo.jp/watch/sm4590341

for the first episode.

theadonicus said:
I think it's supposed to be a sort of stylized King Dedede.

And Why King DDD as Lelouch? He isn't even good at Checkers!

Persona3Minato said:
but who is the blue guy?

I saw in the thumbnail, Demona.

fenrirkun said:
And Why King DDD as Lelouch? He isn't even good at Checkers!

He's a "self proclaimed checker champion"

Yukarin is C.C. =D