There is no such thing as blue Peony. So called 'Blue Lagoon' sold at WalMart 3 years ago was a single Peony with the pink/pink-lavender/magenta colored flowers. There are some lavender tree peonies.
'Blue Lagoon' discussion

I figured it was too good to be true. Anyone had any luck growing the tree peonies in zone 3? It says zone 3, but I find that hard to believe sometimes, heard of people losing them up here. Is there a lavender bush peony that's close to blue? Thanks

Need to know where you are located zone 3 is just a temperature range. Man in Cutbank Montana grows and hybridizes both herbaceaous and tree peonies. There is a Canadian Peony Society that is quite active.

There is no true blue peony but there is a very lavender pink one called Lavender. I give my very nice neighbor peonies and when one tp bloomed for the first time this spring from a distance you could see a blue halo around it. I believe it was an unnamed plant but I am planning on asking for scions for grafting come late August.

Located in Minnesota, sorry. :)