What you can do is you can prevent the PrtScn key from doing anything when pressed. Take a look at this article while shows you how to do this.
What this article is doing is clearing out the clipboard. What you can do instead is capture the screen image and digitally remove your application, then put the revised image on the clipboard, thus giving the "Effect" of making your window transparent.
Also, you might want to look at this SO question which gives an alternative way to make your window just appear "blue", though its not easy to do.