If $q = p^n$ is a prime power, then a $d$-dimensional emph{$q$-Butson Hadamard matrix} $H$ is a $dtimes d$ matrix with all entries $q$th roots of unity such that $HH^* = dI_d$. We use algebraic number theory to prove a strong constraint on the dimension of a circulant $q$-Butson Hadamard matrix when $d = p^m$ and then explicitly construct a family of examples in all possible dimensions. These results relate to the long-standing circulant Hadamard matrix conjecture in combinatorics.