Filter by color with exposed filters
What you're asking is not necessarily Drupal related (although there is the Color module which also shows a color value in a select list, you could look into using the Color module to use its select widget or colorpicker instead of a taxonomy listing of colors by English name).

Anyways, if you want to stick with using a taxonomy select with like "blue" being the 3rd option in the select list -- you could reference this StackOverflow example using Jquery to style select items. You could make a call to drupal_add_js() in a theme function whenever your view and its filters are shown on the page to add the necessary jquery.

I would recommend looking into the Color module in the long run.