Symbolism, Imagery, Allegory
Paint With All The Colors Of The Wind
Death is a lonely dude. He spends all his time escorting dead people away from their bodies. So it's no wonder that he sees beauty wherever he can—especially in the colors of the natural world.
Death's fascination with the colors of the sky functions as imagery. It helps cast the mood of the story, and creates much of the atmosphere:
The last time I saw her was red. The sky was like soup, boiling and stirring. In some places it was burned. There were black crumbs and pepper, streaked across the redness. (4.1)
By focusing on the sky-colors at the times of human deaths, Death suggests that there is a connection between a person's death and the natural world.
The idea that each person dies with their own color of sky presents a vision of a universe which cares about humans, and isn't indifferent to them. For Death, the colors are also edible, and he sucks on them for distraction while he's on the job.