It has been driving me crazy for years. I only ever played the game once for a few hours, but the game left a major impact. So much so that I remember the beginning almost perfectly. Unfortunately I can't even remember what console it was as I was borrowing it while with a friend. It might have been a hand held...

You start in a seaside town with your friend who happens to be a prince. He's about to go on a quest/journey and you're going with him. Something is said and the main character winds up going to a fortuneteller before leaving. At the fortuneteller's you give your character his name and a bit of information. And, in turn is warned you of coming hardships before you leave.

After the ship leaves port, a storm hits and you are forced to stop on a rocky island. You're ambushed and a small tutorial like battle begins. In the end you win and both you and the prince are talking. One of the enemies are still alive and shots an arrow at the prince. You push him out of the way and fall off the cliff into the stormy sea.

You awaken in a bed with a girl attending you. She believed a mermaid saved you from the storm. Some more talking and a bit of traveling and you meet back up with the prince by chance.

Also, I think you may have blue hair.

Sadly, that is all the relevant information I can conjure, hopefully it's enough.