I’m not sure this qualifies as a key modulation; it’s a very common set of chord changes, often referred to as 1-6-2-5 (I VI II V). Each chord after the I is preceded by its own V, making for a naturally resolving progression and a pleasing sound - a string of authentic cadences, if you will. Our western ears are trained to desire that resolution, especially if the dominant chord is a 7th. Often majors and minors come into play, typically alternating (I VI ii V, I III vi II V, etc.)
I’m with pulykamell on this one…I IV V describes just about every blues song. The roman numeral notation is for the chords only, at least since jazz came along. What you do when you get there is up to you, improvisationally speaking.
I don’t think “key” is a loose idea, there’s just different rules. You have chords and the notes therein that are played as accompaniment to the melody, which is either sung, played, or improvised. The melody itself is almost always rooted in the blues scale for that key. If the melody note clashes (dissonant/half-step away from) with the accompaniment note, it’s ok as long as it’s in the blues scale, or a quickly passing tone.
The “defined” blues scale that pukykamell indicates is designed to work over all three chords. Other notes can be added, as mentioned - i.e. major 3rd of the I, but in this case that specific note becomes THE avoid note once the progression moves to the IV; similarly the major 3rd of the V chord is the avoid note in most cases once the progression moves back to the I (the exception being a Imaj7, but that’s not really the blues anymore). Each note of the “defined” scale works on all three chords at any time.
In the “Long Grey Mare” example, the guitar/bass patterns are not following the key of the root note; they’re following (for the most part) the notes of the chords - root, major 3rd, 4th, and 5th for each. It’s almost like an arpeggio.
Also, since the pattern moves quickly, any dissonance should resolve before it becomes irritating. If the maj 3rd of the V chord were held for any length of time instead of moving to the 4th, and the lead soloist or singer were holding on the bVII (in the blues scale) of the I, we’d have a problem. Still this is not half as bad as the melody holding a note outside of the blues scale (e.g. #5th or b2nd).