While yellow seems to be the prevalent color of dye, it isn't the only color available. A quick Google Search turned up this kit (NOTE: I have no affiliation with this company or product.):

It has four different colors which can be used for different fluid leaks.
That said, different dye colors really aren't needed if you understand how to use them. Dye kits really aren't for detecting what's leaking, but more for figuring out what an individual leak is coming from. There are only so many different types of fluids a vehicle has. It is very easy to differentiate between them if you know what you're looking for and where the leak (general vicinity) is located. The two liquids which might be confused are power steering and automatic transmission fluid, because some manufacturers still use tranny fluid in the power steering. The difference here is the location of where a leak might occur as they usually aren't co-located. Engine oil and anti-freeze are the other two big fluids. They are very easy to tell apart, especially while dripping.
Bottom line is, dye kits are usually used when it is really hard to tell where the leak is occurring, not for figuring out what is leaking.