It's worth noting that this is only for English. Blau (blue) is a common German (and Jewish) name; for example, the sociologist Peter Blau. The last name Roth is the older spelling for Red (rot). Rothschild, for instance, meant Red-shield. Gelb is yellow in German and again appears in German and Ashkenazi Jewish last names. Some, but obviously not all, of the color names in America are translations of German or Yiddish last names (Schwartz=Black, Weiss=White, etc).
Those colors are also found in other places--the losing candidate in the last election for mayor of Istanbul was Mustafa Sarıgül, whose last name means "Yellow-rose".
hi! FYI, you'll find some previous answers to this question in the FAQ (link on sidebar) - see the 3rd post under the Europe subheading (TD;DR: many of these "colour" names refer to different kinds of smiths, or personal characteristics such as hair-colour)