Keith, if you keep it in a pot, it wouldn't withstand the cold as well as if you planted it in the ground. Peonies are very winter-hardy (that one says it's good down to zone 3 ! !) but in a pot the danger is if it freezes and thaws repeatedly, the plant could heave out of the soil and dry out too much, or just be damaged by the soil heaving.
So if you want to grow it, I'd either plant it somewhere in-ground, or grow it in a big pot, but sink the pot in the ground somewhere for the winter, and cover it up well with a mulch of leaves, grass or wood chip mulch.
