I've seen corys dyed blue. I noticed them in one LFS because they were an unusual ocean blue color that caught my eye but sure enough, when I looked more closely the coloration was only on the tail section in the larger ones. The clerk there denied that they were artificially colored but asking at a more reputable store, another staff member assured me they were albinos that had been dyed, there was no natural coloration like I described.
Keep asking if the colors you've seen occur naturally... I have no idea. Does the coloring do all the way across the body or have any variations that seem artificial? On close inspection I could see the albino characteristics of the blue ones in the LFS- and I shudder to think how they colored them!