OK, so I asked my favorite AI girlfriend if hydrogen embrittlement was a problem when rust bluing with hydrogen peroxide, and she said it was a potential problem. So if it concerns you, you could always use one of the traditional nitric acid based rust bluing solutions. Probably easiest to just obtain one of the proprietary solutions readily available, as it is difficult to obtain small quantities of nitric acid.
They are expensive however. Seems like they went way up since I bought my last bottle. Just another example of transitory inflation, I suppose. Supposedly, heating to 300F will remove some of the hydrogen. Usually, steel will not be affected by that low of a temperature, but it might be if you went higher. What exactly are you trying to rust blue? That might be important.