I believe this exists. Thicker colored transparent plastic, rigid but cutable with scissors. The idea is that you heat it and it becomes malleable so you use a heat gun, shape it and hold it until it cools then it holds its shape.
Does any of this make sense?
I’ve seen something close, look for Sculptable Plastic
Thibra Fine Sculptable Plastic is one brand.
Thermoplastics? Used a lot in cosplay. What are you planning to make with it? It comes in different sizes depending on your intention.
By far the most well-known brand of cosplay thermoplastics is Worbla. Not saying it’s the best, but it is the market leader.
Art project simulating glass sculpture. Think Chihuly.
Seek out Rocketeer. He is the Man!
I thought about MonoKote, but probably not what you are looking for.
Worbla TranpArt is probably what you want, then - It can be dyed or coloured pretty much like Chihuly’s stuff - check out that phoenix headpiece.
That’s assuming you don’t just want to try acrylic (plexiglass, Perspex)? Not cuttable with scissors, but you can score with a knife and snap.
Here are the people to ask. They know pretty much everything about every kind of art-. craft-, and design-related plastic. IIRC, they can work with you, even if you’re not in NYC: https://www.canalplastic.com/
And before anyone asks–no, I’m not being paid to write this post, and I don’t have a stake in the company. I just know that lots and lots of makers of various kinds consider this store the go-to for plastics.
Hmmm…I don’t know… You could have been quietly waiting for months or years to for someone to ask the very question in the topic to get your 2% commission on $50 of materials! 
Woot! $1 in commissions! 
Sorry, Rocketeer saw the OP a little while ago and is drawing a blank. 
The hot ticket for heat-forming model airplane canopies seems to be PETG (Vivak).
Note that “thermoplastic” is actually an incredibly broad category, which includes most of the various plastics you’re familiar with.