Sia -- My Cover's Blown!!!

For any doubters it's Sia actually singing under that mop of hair ... a Rocky Mountain breeze has your back.

Sia was performing Wednesday night at Red Rocks Amphitheatre in Denver, Colorado when the weather refused to cooperate. The famed amphitheater is carved into the foothills of The Rockies, so the wind gets tricky.

The singer's been spotted without her wig before, but her face is always covered when she's performing, so count this as a cheap thrill for the crowd.