I was reading a chapter about this lady in blue from Arizona Legends by Dorothy Daniels Anderson.
I found these websites on the same topic:
The Mystery of the Lady in Blue
The Lady In Blue
It would seem that this nun who lived in a convent in Spain in the 17th century "astral plained" in the form of dreams to the southwest and taught Christianity to the indians.
Interesting story. I had not heard this one before.