Blue Girl is a good example of this. The flower is not a solid light blue rose. This is as close to a real blue rose bush as you are likely to get right now.
Rose breeders are working diligently to develop a sky blue rose. If they can manage to pull this off, I'm sure the plant will be an instant success as gardeners have been waiting decades for a blue rose to be introduced.
The long stem blue roses you sometimes see for sale have been dyed that color.