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THIS RESTAURANT IS CLOSED Blue Burrito Grille Restaurant Review: The beautiful people of Scottsdale have plenty of restaurants geared toward keeping them beautiful, but who would have thought that Mexican cooking and heart-smart dining could go hand-in-hand so well? Blue Burrito serves up new-age Mexican, free of lard and full of flavor. The menu offers all the standards, and with the exception of the chimichangas, nothing is deep-fried or smothered with sour cream. Order at the counter, but you don't have to clear your table.