Actually, I have seen some colored pegboard. On the other hand, I cannot remember where I saw it. I know it came in the basic colors...red, black, white, green, and I think I remember seeing yellow.
Maybe you could try a search on google or something because I know I have seen colored pegboard out there somewhere.
Check out Wall Control for colored metal pegboard. I have some in my garage and it has worked out really well. I have galvanized but it comes in a bunch of other powder-coated colors. I can't put the site but just google Wall Control Pegboard and you should find it..
Just recently I purchased "wood grain" peg with the intention to paint if needed as it was discontinued and cheaper than plain at my local Lowes
I also got a couple of sheets of "metal look" cheaper than regular.
Check Lowes ?