By definition, even the wild coloured birds are "domestic", in the sense of being many, many generations captive bred, less prone to wandering and winter hardier than their truly wild relatives.
However, I find that mutation birds do semi-regularly pop up in zoos. The most common are male "black shoulders", as they are very similar to wild type males, just with black wing coverts instead of barred. The females are a very stark cream color with black speckling, and far less common. I have also seen white in a couple of collections, and I think a pied or two if I can recall. As a general rule the "fancier" the institution, the less likely you are to find mutation birds.
On the whole though, blue peafowl on display in zoos are acquired from private sources and are not bred at all. The only breeding program in North America, at least, is for the java green peafowl.