I think wings are tied to your fur/scale colour. Open up in save editor and have a look.
I couldn't be arsed to look up how to work the save editor, so I spent like an hour digging through the source code instead. Apparantly there are two different ways to colour wings: one method colours by what overarching flag the wing has, and the other method colours for a specific wing type.
Wings with the flags "furred" and "feathered" (wtf, there are furry wings?) both get coloured based off of fur colour.
Wings with the flags "scaled" (of which demonic wings are one) and "chitinous" both get coloured based on scale colour.
Small bee, bee and myr wings are coloured the same way, but other than that, every other wing type gets coloured based on that specific wing type (includes dragonfly, sylvan and dark sylvan)
so yeah, sounds like I need to figure out a way to change my scale colours