The blue hypergiant Cyg OB2 12 (B3Ia+) is a representative member of the class of very massive stars in a poorly understood evolutionary stage. We obtained its high-resolution X-ray spectrum using the Chandra observatory. PoWR model atmospheres were calculated to provide realistic wind opacities and to establish the wind density structure. We find that collisional de-excitation is the dominant mechanism depopulating the metastable upper levels of the forbidden lines of the He-like ions Si xivand Mg xii. Comparison between the model and observations reveals that X-ray emission is produced in a dense plasma, which could reside only at the photosphere or in a colliding wind zone between binary components. The observed X-ray spectra are well-fitted by thermal plasma models, with average temperatures in excess of 10 MK. The wind speed in Cyg OB2 12 is not high enough to power such high temperatures, but the collision of two winds in a binary system can be sufficient. We used archival data to investigate the X-ray properties of other blue hypergiants. In general, stars of this class are not detected as X-ray sources. We suggest that our new Chandra observations of Cyg OB2 12 can be best explained if Cyg OB2 12 is a colliding wind binary possessing a late O-type companion. This makes Cyg OB2 12 only the second binary system among the 16 known Galactic hypergiants. This low binary fraction indicates that the blue hypergiants are likely products of massive binary evolution during which they either accreted a significant amount of mass or already merged with their companions.