Indigo Bunting

Passerina cyanea
Order Passeriformes
Family Cardinalidae
Other names: Indigo-bird

Adult male.— Entire body deep indigo-blue, deepest on the head, often with greenish reflections; wings and tail brown, the feathers margined with blue. 
Adult female and Immature.— Upper parts light brown, unstreaked; under parts grayish, washed with brown, especially on the breast; wings and tail sometimes margined with bluish. 
Adult male in autumn. Like the female, but wings and tail decidedly bluish.

Nest, in low bushes, a foot or two from the ground. 
Eggswhite.

The Indigo-bird is a common permanent resident of New England and New York, very common on the upland region of New England, but not known to occur on Cape Cod. It arrives early in May, and remains till October. It frequents bushy roadsides, overgrown pastures, and the edges of woodland. In the fall it is found in low gardens or cornfields, or neglected weedy spots.

The male generally sings from the top of some low tree, where his deep color fades into the blue or light-colored background of the sky. The song is difficult for beginners to remember; it consists often of sets of phrases given in a high key, then repeated in a slightly lower key, growing feebler as the song ends. It resembles the syllables sweeswee-swee, swee-swee (slightly lower), sweet-sweet-sweet, swee-swee (slightly lower), swee, swee, swee. The song is heard constantly through July and into August.

The male can be confused only with the Bluebird, and then only if the under parts are not seen; no other New England bird is blue all over. The female may be known by her unstreaked brown back, her brownish under parts, and her habit of twitching the tail sideways as she appears and disappears in the roadside thickets.

Hoffmann – A Guide to the Birds of New England and Eastern New York (1904)

The Indigo Bunting does occur in Cape Code but it’s still true today that their numbers in the coast from Cape Cod northward are smaller than in the interior. Check the eBird map: https://ebird.org/map/indbun?env.minX=-160.237063742281&env.minY=-0.482638586407011&env.maxX=28.4091459228189&env.maxY=71.9081724700314