There ain't no such thing as an actual blue rose, by the normal everyday meaning of blue. No blue daylilies either. In fact the number of plant taxa that come in any sort of TRUE blue is pretty limited (the classics are things like delphiniums, forget me nots, pansies, perennial flax, some irises, etc)
But remember that 'blue' in the world of plant breeders and catalogs means simply "purplish or lavender-colored". In that sense, LOTS of plants are described as 'blue'. Note that photos are often 'pushed' to distort things towards trues bluer - sometimes you can detect chicanery from the way the greenery looks in the photo. But really, anyone who wants BLUE blue in a plant not known for blueness had better see it blooming in person first.
Roses don't even achieve much of a lavender shade -- the 'blue' (meaning slightly purplish) roses are still much more pinky than lavender-y, you need the squint of a True Believer to see anything different. Still nice, but I wish people would call a spade a spade.
Pat