There is no evidence that color affects a candle's burn rate. Michael Faraday spent years studying the dynamics of candle flames. His treatise "The Chemical History of a Candle" outlines how certain characteristics affect a candle's burn rate, but his neglect to mention color suggests that it has no effect.
Although the chemical pigments present in a candle's wax may have a slight effect on the characteristics of the flame, it is unlikely that these chemicals would have enough influence over the candle to alter its burn rate. Furthermore, if this were the case, it would be the chemical composition of the pigment, rather than its color, that would be the causal agent.