Actually you can but it would have to be white chocolate

If you're going to use pre-rolled icing make sure you use gloves as the dye gets into your hands when kneading. For the best blue I'd buy some icing gel colour (its a dye not the gel stuff you use for writing) you can get it at cake decorating stores. Normal blue vegetable dye tends to go green with butter icing due to the yellow tinge it has (unless you use spreadable butter in which case for some odd reason it whips whiter). It will also happen with white chocolate buttercream because it is slightly yellow as well. Swiss Meringue icing isn't as yellow, due to the meringue.