I killed a Blood Dragon at Mixwater Mill but after absorbing its soul, I couldn't use it to unlock a shout (Dismay). I killed a regular dragon minutes later outside of Eldergleam Sanctuary, also unusable. Is this a bug? Nothing in the Elder Scrolls wiki about it...

Running any mods? Might have to update them since the patch.

Nope, on the Xbox.

I never got a soul from a dragon I killed once on the PS3. I suppose you have 2 options: 1) restart from a previous save, 2) kill another dragon and see if getting another soul will free up the one you can't use.

Well, all I had to do was discover another dragon word and I was able to use the souls I had absorbed. All's well that ends well, I suppose...