I found this blooming on September 25th in Wind Cave National Park.
It's probably in the Papaveraceae family, and may be native to the area. The leaves are actually bluer than they appear in the photos. The plants (there were more than half a dozen in the area) were growing in lousy soil with very little grass cover, near a prairie dog village. The area was also browsed by bison (American Buffalo).
Height and width are about 12 inches. Given the late-blooming, it's probably an annual.
After some sleuthing, it looks like the plant is an Argemone polyanthemos, or Crested Prickly Poppy. One of the keys is that the there are no prickles on top of the leaves, which differentiates it from the similar-looking Argemone albiflora, a central US species; another is that the sap is orange or yellow (not tested on this plant because it's in a national park).
This argemone is an annual or biennial and usually blooms for a long period from late spring through August; the fact that the plant I saw was still blooming in late September bothered me, but Wikipedia has a photo dated early October from Colorado, so late blooms must not be uncommon. The plants I saw were shorter than they should be, but the closest occurence of A. albiflora is in Iowa, hundreds of miles away, so I'm confident that this is indeed an A. polyanthemos.