Could be powdery mildew or possibly botrytis. Of the two, botrytis is a more serious issue.

Botrytis blight on peonies.

Some of the peonies are looking dreadful in the fall, you should not worry about it too much. Just get rid of those leaves and never compost them. Make sure that roots area are not covered with debris or mulch too close to the crown. Fungicide is ok, but just do not overdo it. I am starting to see a reason to mulch peonies with coarse sand/small gravel and avoid any organic mulches.

Botrytis usually strikes when weather is humid and leaves and stems are turning dead and black reasonably fast. Dispose the plant and soil around it and do not plant any peony at the same place for a few years.