It's a quite unfortunate answer, but you cannot.
Regarding the use of ANSI escape sequences, MySQL only allows the following:
You can use the escape sequences “\b”, “\t”, “\n”, “\r”, “\”, and “\s” in option values to represent the backspace, tab, newline, carriage return, backslash, and space characters.
Regarding cmjdmiller's answer, grc only works to display output from MySQL's shell through a "pager".
The best you could do is use rlwrap like this:
rlwrap -a -p'GREEN' mysql -uroot -hlocalhost -A --prompt="\u@\h:\d> ". This will not give you fine-grained control however as it colorizes the entire prompt. Also be careful because it displays the password in cleartext.