After you have pressed E to go into Building mode, you can rotate a blueprint by pressing R as many times as you want. To rotate a building in Building mode, click on the option for Movement mode, click on the desired building, and then press R as many times as you want. You may need to move the building to another location because you cannot rotate it and then put it back down onto its original location. Just rotate and move it somewhere else, and then move it back to where it started.