It's because of a cultural stereotype that when you think perverted things your nose will bleed.

There's a similar saying that in Japan when you sneeze someone is talking about you. We Americans have a similar saying: when you get cold chills someone is walking across your grave.

Blood types are included in character bips because in Japan your blood type is believed to have a big impact on your personality, much the same way some westerners look at the monthly zodiac or birth date to determine personality. (Asian zodiac is different; it also has to do with personality but goes in cycles by years not by months.)