These colours are set by the following theme variables:
### Climate devices ###
state-climate-heat-color: "#FF6262" # red
state-climate-cool-color: "#039BE5" # blue
state-climate-fan_only-color: "#0da035" # green
state-climate-dry-color: "#e0b400" # yellow
state-climate-auto-color: "ff8100" # orange
See: https://www.home-assistant.io/integrations/frontend/#defining-themes