The same stuff clay masters use to make 'natural' glazes, natural pigments. But you don't color the cob, you color the plaster or final coat/layer.
I'm sure there is a Google list somewhere of the pigments to use with earthen plasters.
My college pottery instructor was always making his own, to save money for other supplies.
The trick is going to be the same.... once you test and find a color you like how to duplicate it.
So (1) you need a good sold supply of your color element, and then a tested formula which you come up with the ratio of colorant to plaster/cob. But realize that if your loosey goosey with your other ingredients your final results will vary. Therefore you really need a precise recipe for all the ingredients in your mix. Consistency is key.
Of
course browns, yellows and whites are easy, but greens and blues are fun.
Here is one place called Earth Pigments looks promising....
http://www.earthpigments.com/plaster-cement/plasters-and-cements.cfm All the best!