Using the code provided by Sparkfun SIK Guide Circuit #3 RGB I was able to reproduce your issue. I will look into the analogWrite and digitalWrite source code. In the meantime a quick workaround is to switch to pins 2-4 instead of pin 9-11.
I noticed that when using the code you provided: My output on pin 9-11 where Green and a quick flash of red but no blue. On pin 2-4 the lights are Green, Blue then Cyan and loops between Blue and Cyan so my workaround will not work.
I tried your code but made some changes, since you are not using the Red LED I deleted those lines but it’s basically the same. I think that the problem is that you’re not setting the pin as an Output. That has happened to me before and the LED behave oddly if you don’t set them with pinMode() function. This is the code that worked for me, I hope it works for you.
const int GREEN_PIN = 10;
const int BLUE_PIN = 11;