The main theme of this poem for me is Oscar Wilde's journey back to Greece where he had spent some time in the past, it appears that he was travelling from the direction of Italy or North Africa but of course we are not sure of that.
Sapphire refers to the blue colour of the sea.
Heated opal to the marbled blue of the sky.
I always think of The Greek Islands as blue lands, with their blue skys and blue shuttered white houses.
I stress this is my own personal view others may interpret it differently.