Give your peonies an extra energy boost in the vase: cut the stem again at an angle, put them in fresh lukewarm water and add a scoop of sugar. Sometimes this can make that difference. Even better is to avoid buying raw peonies. Feel the buds in advance or feel soft and that the color is clear and visible.
At My Peony Society we never cut raw. Our growers do everything to ensure that no stem is cut incorrectly, because the love for the peony goes far.