A riddle about the wind is:
 
Q: What is the color of the wind?
A: Blew (blue).
 
The pun was cited in print much before the song “Colors of the Wind” in the animated film Pocahontas (1995). “What is the color of the wind and the moon? Answer: The moon rose, and the wind blew (blue)” was published in the Washington (DC) Post on October 17, 1909.
 
   
Wikipedia: Colors of the Wind
“Colors of the Wind” is a song written by lyricist Stephen Schwartz and composer Alan Menken for Walt Disney Pictures’ 33rd animated feature film Pocahontas (1995).
(...)
“Colors of the Wind” won the Academy Award for Best Original Song at the 68th Academy Awards in 1995, becoming composer Alan Menken’s fourth win in the category. It also won the Golden Globe in the same category as well as the Grammy Award for Best Song Written for a Movie. The song poetically presents the Native American viewpoint that the earth is a living entity where humankind is connected to everything in nature.
     
17 October 1909, Washington (DC) Post, pg. M7, col. 3:
A RIDDLE.
What is the color of the wind and the moon?
Answer: The moon rose, and the wind blew (blue).
VIRGINIA DENMEAD HOOVER.
The Portland.
   
Google Books
The Christian Intelligencer and Mission Field
Volume 94
1923
Pg. 520:
What is the color of the wind and the color of the storm? The storm rose and the wind blew.
 
31 July 1937, The Afro-American (Baltimore, MD), “Jokes and Riddles,” pg. 22, col. 5:
What is the color of the wind and the waves?
Blue and rose. (The wind blew and the waves rose).
   
Twitter
Islam Alaa‏
@islamalaa1994
What is the color of the wind? It’s blew. #BADUMTISS
10:25 PM - 18 Jul 2013
 
Twitter
Adderly‏
@AdderlyShah
Question: What is the color of the wind?
Answer: Blew.
10:40 PM - 10 Aug 2013
 
Twitter
almond gnome‏
@batmountaineer
What is the colour of the wind?
Blew.
2:20 PM - 26 Sep 2013
 
Twitter
Dave‏
@gneicco
8yo: What is the color of the wind?
Me: Clear.
8: Blue.
Me: ?
8: Blue. Like the wind _blew_.
5:23 PM - 5 Aug 2015
 
Reddit—Jokes
Q. What is the color of the wind?
submitted May 12, 2016 by ByronCalloway
A. Blew.
 
Reddit—Jokes
What is the colour of the Wind?
submitted June 26, 2017 by y2k2r2d2
Blew.