I wouldn't consider any hydrangea as necessarily drought tolerant - the name "hydrangea" is derived from the Greek words for "water vessel". But if I were to choose, I'd go with H. quercifolia, as it seems to tolerate drier conditions than most other species. It may be marginally hardy for you in zone 5 though.

It could help if you could describe in more detail the setting - compass orientation, degree of shade/sun, etc. Hydrangeas located in shadier areas generally require less irrigation than those situated in full sun.

Thank you for your reply. The gazebo is open in our backyard and faces all directions, north, east, south and west.We would like to plant all the way around the gazebo. We have other hydrangeas we have planted about 2 months ago. The Niko blue hydrangeas are planted on the west side of the house, gets the hot afternoon sun. At first planting it looked wilted at times but now has grown at least a foot in height and width and many flowers. I thought I had made a mistake in planting them there but it turns out it is good so far but definately needs regular watering. I have other kinds such as pg, cityline paris, royal purple (no flowers yet), pinky winky, merritt's beauty, lacecap, all which I water once a week if we dont get rain. I thought the hydrangeas would look amazing around the gazebo.

Once established, the paniculata types are the most drought tolerant hydrangeas