What is the best low-power color indicator?
How often does the indicator need to change? If it's only occasionally, then you could place color swatches on a rotor or scroll mechanism and move it mechanically to different positions. The power consumption while not changing would be zero, but it'd be considerable while changing.

One option for the motor/mechanism would be to hack an inexpensive clock movement to be controlled by your project rather than the quartz oscillator it comes with, and stick a disc with your color swatches on in place of the second hand. You can often buy them in craft stores for about $5 US.