They're white so that they can be colored through an application of a palette when they're rendered. So the only way to see those colors would be to take it from screengrabs. I was curious about that too so I went looking as to WHY that is.
I also just discovered an arcade game from 1992 I've never even HEARD of before, The Destroyer from Jail. I'd have done the hyperlink thing I've usually done but you GOTTA see this thumbnail
They appear in the last stage of the demo, only the Fury (blue variant) and Fern (red variant) only. I haven't opened the demo yet, nor played it.
The yellow variant seen on the Steam page doesn't appear yet, as she'll appear in the full game along with the hammer-wielding zako
In-game, they should appear like this:
I'll let you know when the game releases, since I'll be leaving Discord soon (plans may change, hopefully)