You're right--the colors are so vibrant. The blue is eye catching.
When I was in elementary/jr. high we vacationed in the wild west. To answer your question, yes, the mountains can look blue, weather, season, direction, time of day, all play a part in their magnificent colorings. I loved when they had a pinkish tinge as the sun sank.
A trip to the Rockies is a definite bucket list item, IMHO.