Is there any natural blue rose?
There are no roses (that is, flowers of genus Rosa species) that naturally express a "true" blue color. Through cross-breeding, there are lilac-mauve rose horticultural varieties ("Blue Nile","Blue Moon","Lady X", etc.), and through genetic engineering (actually inserting delphinidin-producing genes) there are mauve-lavender varieties ("Applause"). The insertion of delphinidin-producing genes did not yield blue colour roses as hoped is due to the acidity of the rose petals, which itself changed the delphinidin blue to mauve-lavender instead. The next breakthrough will be to switch off the acidity of the rose petals to create a true blue rose.

More info

Wikipedia article Blue Rose gives good coverage.

Here's a nice scientific bibliography of rose pigments with some good information on blues.