Going for a long shot, but can it be to do with the garment they were wearing when they died? Sorry that maybe comes across as a bit sarcastic
I simply mean that maybe it isn't as mysterious as we're maybe making it to be. Even though ghosts are a mysterious subject in the first place.
err... Ignore me, I'm rambling
Interesting- the Scottish
Glaistig, essentially a nature faery (sometimes nice enough to help tend livestock for a bit of milk, sometimes nasty enough to drink the bood of males- a bit harsh!) is frequently named Green Lady.
Wild fawn, wild fawn,
Hast seen the Green Lady?
The bird in the nest,
And the child at the breast,
They open wide eyes as she comes down the dawn-
The bonnie Green Lady,
Bird and child make a whisper of music at dawn,
Wild fawn, wild fawn!
Fiona MacLeod
It's a bit gibberish, but I believe it may refer to a Glaistig. Seeing as Glaistigs were a Celtic piece of lore, it shows that coloured apparitions have been around for a while- could other "colours" correspond to such spirits/faeries?