The great seahorse males go through brilliant color changes when trying to woo a mate, but they don't do well in nano aquaria (most seahorses are tricky, at best, even in large aquaria).
Dwarf seahorses can be a few different colors, it seems. I've found pictures of a pale blue one and a brown and white one with a really pretty golden ring around its eye.
I'm not sure about the color change thing, but I wonder if it has to do with the environment. If you provide a more interactive environment (with clusters of rocks, seagrass, some brightly colored
live rock if you can find it, they might change colors more often.