See below

I have never tried coloring confectioners sugar but do color regular
sugar by mixing it half and half with flavored gelatin powder
(Jello). I use this to sprinkle on the top of sugar cookies. The
color seems very pale but intensifies as the cookie bakes. It also
adds a different flavor than you would get with sugar alone.
Depending on what you plan to do with the confectioners sugar, this
might be a way to color it.