Depending on the manufacturer of the crimp lug, you may or may not be able to get a 12 AWG wire to fit into a blue crimp lug.
On page 8 of Tyco's catalogue, they give current ratings that are in line with the current ratings for the wires that the crimp lugs are designed to fit. These lugs are designed to meet the requirements of various safety agencies such as UL. I have never had to look into the UL standards for these components but they generally include detailed test conditions that take into account the intended usage. What helps the "small looking" lug meet these requirements is the heatsinking effect of the metal the crimp lug is attached to.
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