Well, based upon the article that Griz posted there may be a chance to actually catch a blue in Arizona.
One thing that I can tell all of you...a couple years ago I caught some big channels out of Roosevelt that I initially thought were blues. As with the catfish in my profile pic (which is a blue cat), the fish I caught out of Roosevelt were blue in color. However, this does not make them blue catfish. The two ways to tell a blue catfish from a channel is by its toothpad and also by its anal fin.
I unfortunately cannot find any pictures of the toothpad differences, but the anal fin difference is a real dead giveaway. I have attached the pictures.
Channel Catfish - rounded at the end, with 20 to 24 spines or sections
Blue Catfish - sharp, pointed at the end, 28-30 spines or sections
In response to the two channel catfish that I caught at Roosevelt, they were just as blue as the fish in my profile. I was shocked when I pulled them up. The big difference though was that when I saw the anal fin, they were rounded just like a channel cat.