This solution shows an active character approach, which (though heavy in the setup) will allow one to have cap letter automatically colorized. But because active letters will tend to break macros, I provide the means to disable it. This revised solution provides the following macros:
\capcoloron[color]
turns all cap letters to this color (default red)
\capcoloroff
turns off active characters and restores original cap-letter definitions
\coloron{letter}{color}
turns just this [inactive] letter active and sets it to the specified color
\coloroff{letter}
turns off just this active character, and restores its original definition.
The only quirk is that to change the color of a given capital letter that is already active, one must first turn the color off, and then turn it on again. Here is my MWE:
\documentclass{article}
\usepackage{xcolor}
\usepackage{stringstrings}
\let\sva A\let\svb B\let\svc C\let\svd D\let\sve E\let\svf F\let\svg G
\let\svh H\let\svi I\let\svj J\let\svk K\let\svl L\let\svm M\let\svn N
\let\svo O\let\svp P\let\svq Q\let\svr R\let\svs S\let\svt T\let\svu U
\let\svv V\let\svw W\let\svx X\let\svy Y\let\svz Z
\catcode`A=\active\catcode`B=\active\catcode`C=\active\catcode`D=\active
\catcode`E=\active\catcode`F=\active\catcode`G=\active\catcode`H=\active
\catcode`I=\active\catcode`J=\active\catcode`K=\active\catcode`L=\active
\catcode`M=\active\catcode`N=\active\catcode`O=\active\catcode`P=\active
\catcode`Q=\active\catcode`R=\active\catcode`S=\active\catcode`T=\active
\catcode`U=\active\catcode`V=\active\catcode`W=\active\catcode`X=\active
\catcode`Y=\active\catcode`Z=\active
\newcommand\colorcapon[1][red]{%
\catcode`A=\active\def A{\textcolor{#1}{\sva}}%
\catcode`B=\active\def B{\textcolor{#1}{\svb}}%
\catcode`C=\active\def C{\textcolor{#1}{\svc}}%
\catcode`D=\active\def D{\textcolor{#1}{\svd}}%
\catcode`E=\active\def E{\textcolor{#1}{\sve}}%
\catcode`F=\active\def F{\textcolor{#1}{\svf}}%
\catcode`G=\active\def G{\textcolor{#1}{\svg}}%
\catcode`H=\active\def H{\textcolor{#1}{\svh}}%
\catcode`I=\active\def I{\textcolor{#1}{\svi}}%
\catcode`J=\active\def J{\textcolor{#1}{\svj}}%
\catcode`K=\active\def K{\textcolor{#1}{\svk}}%
\catcode`L=\active\def L{\textcolor{#1}{\svl}}%
\catcode`M=\active\def M{\textcolor{#1}{\svm}}%
\catcode`N=\active\def N{\textcolor{#1}{\svn}}%
\catcode`O=\active\def O{\textcolor{#1}{\svo}}%
\catcode`P=\active\def P{\textcolor{#1}{\svp}}%
\catcode`Q=\active\def Q{\textcolor{#1}{\svq}}%
\catcode`R=\active\def R{\textcolor{#1}{\svr}}%
\catcode`S=\active\def S{\textcolor{#1}{\svs}}%
\catcode`T=\active\def T{\textcolor{#1}{\svt}}%
\catcode`U=\active\def U{\textcolor{#1}{\svu}}%
\catcode`V=\active\def V{\textcolor{#1}{\svv}}%
\catcode`W=\active\def W{\textcolor{#1}{\svw}}%
\catcode`X=\active\def X{\textcolor{#1}{\svx}}%
\catcode`Y=\active\def Y{\textcolor{#1}{\svy}}%
\catcode`Z=\active\def Z{\textcolor{#1}{\svz}}%
}
\def\colorcapoff{%
\catcode`A=11\let A\sva%
\catcode`B=11\let B\svb%
\catcode`C=11\let C\svc%
\catcode`D=11\let D\svd%
\catcode`E=11\let E\sve%
\catcode`F=11\let F\svf%
\catcode`G=11\let G\svg%
\catcode`H=11\let H\svh%
\catcode`I=11\let I\svi%
\catcode`J=11\let J\svj%
\catcode`K=11\let K\svk%
\catcode`L=11\let L\svl%
\catcode`M=11\let M\svm%
\catcode`N=11\let N\svn%
\catcode`O=11\let O\svo%
\catcode`P=11\let P\svp%
\catcode`Q=11\let Q\svq%
\catcode`R=11\let R\svr%
\catcode`S=11\let S\svs%
\catcode`T=11\let T\svt%
\catcode`U=11\let U\svu%
\catcode`V=11\let V\svv%
\catcode`W=11\let W\svw%
\catcode`X=11\let X\svx%
\catcode`Y=11\let Y\svy%
\catcode`Z=11\let Z\svz%
}
\newcommand\coloron[2]{%
\if\sva#1\catcode`A=\active\def A{\textcolor{#2}{\sva}}\else%
\if\svb#1\catcode`B=\active\def B{\textcolor{#2}{\svb}}\else%
\if\svc#1\catcode`C=\active\def C{\textcolor{#2}{\svc}}\else%
\if\svd#1\catcode`D=\active\def D{\textcolor{#2}{\svd}}\else%
\if\sve#1\catcode`E=\active\def E{\textcolor{#2}{\sve}}\else%
\if\svf#1\catcode`F=\active\def F{\textcolor{#2}{\svf}}\else%
\if\svg#1\catcode`G=\active\def G{\textcolor{#2}{\svg}}\else%
\if\svh#1\catcode`H=\active\def H{\textcolor{#2}{\svh}}\else%
\if\svi#1\catcode`I=\active\def I{\textcolor{#2}{\svi}}\else%
\if\svj#1\catcode`J=\active\def J{\textcolor{#2}{\svj}}\else%
\if\svk#1\catcode`K=\active\def K{\textcolor{#2}{\svk}}\else%
\if\svl#1\catcode`L=\active\def L{\textcolor{#2}{\svl}}\else%
\if\svm#1\catcode`M=\active\def M{\textcolor{#2}{\svm}}\else%
\if\svn#1\catcode`N=\active\def N{\textcolor{#2}{\svn}}\else%
\if\svo#1\catcode`O=\active\def O{\textcolor{#2}{\svo}}\else%
\if\svp#1\catcode`P=\active\def P{\textcolor{#2}{\svp}}\else%
\if\svq#1\catcode`Q=\active\def Q{\textcolor{#2}{\svq}}\else%
\if\svr#1\catcode`R=\active\def R{\textcolor{#2}{\svr}}\else%
\if\svs#1\catcode`S=\active\def S{\textcolor{#2}{\svs}}\else%
\if\svt#1\catcode`T=\active\def T{\textcolor{#2}{\svt}}\else%
\if\svu#1\catcode`U=\active\def U{\textcolor{#2}{\svu}}\else%
\if\svv#1\catcode`V=\active\def V{\textcolor{#2}{\svv}}\else%
\if\svw#1\catcode`W=\active\def W{\textcolor{#2}{\svw}}\else%
\if\svx#1\catcode`X=\active\def X{\textcolor{#2}{\svx}}\else%
\if\svy#1\catcode`Y=\active\def Y{\textcolor{#2}{\svy}}\else%
\if\svz#1\catcode`Z=\active\def Z{\textcolor{#2}{\svz}}\else%
\fi\fi\fi\fi\fi\fi\fi\fi\fi\fi\fi\fi\fi\fi\fi\fi\fi\fi\fi\fi\fi\fi\fi\fi\fi\fi%
}
\newcommand\coloroff[1]{\catcode`#1=11%
\edef\tmp{\detokenize{#1}}%
\caselower[q]{\tmp}%
\expandafter\let\expandafter#1\csname sv\thestring\endcsname%
}
\catcode`A=11\catcode`B=11\catcode`C=11\catcode`D=11\catcode`E=11
\catcode`F=11\catcode`G=11\catcode`H=11\catcode`I=11\catcode`J=11
\catcode`K=11\catcode`L=11\catcode`M=11\catcode`N=11\catcode`O=11
\catcode`P=11\catcode`Q=11\catcode`R=11\catcode`S=11\catcode`T=11
\catcode`U=11\catcode`V=11\catcode`W=11\catcode`X=11\catcode`Y=11
\catcode`Z=11
\parskip 1em
\begin{document}
\colorcapon[cyan]
\verb|\colorcapon[color]| will change all caps to the specified color\\
A Test of The Active Method (\verb|Even in \Verbatim|)
\colorcapoff
\verb|\colorcapoff| will restore all things to the original LaTeX setting\\
A Test of The Active Method
\coloron{M}{blue}\coloron{A}{red}\coloron{T}{orange}
\verb|\coloron{letter}{color}| will turn an inactive letter active with the
specified color, done here to letters ``M'', ``A'', and ``T'':\\
A Test of The Active Method
\coloroff{A}
\verb|\coloroff{letter}| will restore that letter to the original LaTeX
setting, here done to the letter ``A'':\\
A Test of The Active Method
To change The color an already active letter, one must first turn the color off
and then set the color anew, as done here to the letter ``T'':\\
\coloroff{T}\coloron{T}{green}
A Test of The Active Method
\end{document}

ORIGINAL SOLUTION:
This shows the traditional and dangerous active character approach. The active approach takes a fair amount of "setup" code, but then will automatically change the cap letter colors upon use.
Because it is dangerous, I provide the means to enter and exit the active approach with \colorcapon
and \colorcapoff
. I've only set up 3 letters... but the other 23 follow in a similar manner.
\documentclass{article}
\usepackage{xcolor}
\begin{document}
TRADITIONAL APPROACH:
\textcolor{red}{A} letter can have its color \textcolor{blue!60}{C}hanged
with the \textcolor{cyan!80}{U}se of \verb|\textcolor|.\vspace{2em}
ACTIVE CHARACTER APPROACH
\let\sva A
\let\svc C
\let\svu U
\catcode`A=\active
\catcode`C=\active
\catcode`U=\active
\def\colorcapon{%
\catcode`A=\active\def A{\textcolor{red}{\sva}}%
\catcode`C=\active\def C{\textcolor{blue!60}{\svc}}%
\catcode`U=\active\def U{\textcolor{cyan!80}{\svu}}%
}
\def\colorcapoff{%
\catcode`A=11\let A\sva%
\catcode`C=11\let C\svc%
\catcode`U=11\let U\svu%
}
\catcode`A=11
\catcode`C=11
\catcode`U=11
\colorcapon
A letter can have its color Changed with the Use of\\
\verb|\textcolor. Wow. And I can Use it in verbatim|.\vspace{2em}\colorcapoff
RESTORED TO ORIGINAL
A letter can have its color Changed with the Use of \verb|\textcolor|.
\end{document}

chickenize
package.