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Generally no. You cannot change the color of any of the main lights (headlight, blinkers, tail lights). For example, red is applied to warning lights. The colors of these lights are all standard.
Hereof, what color can your turn signals be?
In North America they're usually red, and can also be amber. Almost everywhere else in the world, they have to be amber. Traffic moves and changes quickly.
Simply so, are blue turn signal lights illegal?
It must be white or yellow to the front, red or yellow to the rear (24953 VC). No state is going to let you have blue turn signals legally, IIRC. Red and blue in the front of the car are reserved exclusively for police/emergency vehicles. Although it is interesting that they allow white turn signals.
The only color headlight that is legal to use in any state is white. Most states mandate that the only allowable colors for lights on the front of a vehicle are white, yellow, and amber. The rules are just as strict for tail lights, brake lights, and turn signals.