It depends on the gun and on the shell. They can be yellow, blue, a light greenish grey or even red. But the shells of the superheavy guns, 28cm - 42cm, all seem to be blue. The super heavy naval guns all seem to fire yellow shells.
Oh, and I forgot to mention beige and black. I have no Idea why blue. I don't know what colour the shells were that the Dicke Berta or the Gamma Mörser fired, but the 28 and 30cm shells are all blue...
And not all naval shells were yellow, as I have found one 24cm schrapnell shell that is painted light blue.
