In principle, there's nothing wrong with using color to indicate certain statuses. UIs do that all the time, e.g., with red and green to indicate errors and successes, etc.
However, using color — and any other signifiers, for that matter — requires that the users either already know what the colors mean, or have a chance to learn this, and do so in the context that they are in.
E.g., the meanings of green and red, as mentioned above, are near-universal (at least in the locales that I've designed for so far ;) ) as are, say, blue for cold temperatures, and red for hot.
So, if you'd apply different colors to the links, how would users know what colors means what, unless you provide them with a legend? Further, your users would still need to learn and memorize the links' colors' meanings to develop the correct expectations about what happens when clicking either type.
In other words, this sounds like a novel approach, and I've never seen it used anywhere, so the additional info might not quite justify the learning curve that this approach will require.
If you consider it important enough to present the link differences to your users, I'd suggest you stick with "external link" icons, instead, because that pattern has been around for a while, and your users might already be familiar with it.
