I would advise not to buy an Opal engagement ring. I've been asked a few times, every time I have had to talk the couple out of it.
It is a 5.5 (out of ten) on the Mohs hardness scale and is quite brittle.
Beautiful stone for a dress ring, but in an engagement ring designed to be worn every day in all conditions I'd be amazed to see it last 5 years.
If you want to skip the traditional Diamond, then a Sapphire makes a great substitute (keeps to your blue colour and it rates as a 9 on the hardness scale).
Opal, as a semi precious stone, is much more commonly found mounted in silver. My advice would be to buy her a nice blue opal necklace for the wedding day - not the ring.