Leave it to Mary J. Blige, the queen of emotive, edgy soul, to turn her first holiday album into a dramatic and often poignant affair. A Mary Christmas does have its share of cheer: backed by a live orchestra, as are many of the tracks, “This Christmas” is a bright rendition of the Donny Hathaway classic. Still, Blige’s take on “My Favorite Things” is hushed and delicate, and on her version of “Petit Papa Noël,” she sings in French over melancholy guitar.