Every option is possible, devil’s color depends on the time the song was created.
In http://www.colorability.it/2014/03/di-che-colore-e-il-diavolo.html (sorry in Italian but translation services can be used) it is well shown how and why the devil’s color changed through ages, being completely black as the night in XI century, green (color of Islam) in XII century, blue as the sky for economic reasons in France in XIII century, red as sin since the times of Lutero.

Gray (gris) would also be possible in case of a comic song, “gris” meaning drunk.