The list of graphical objects you need is at the bottom of this page. So a simple albeit tedious approach would be to iterate through all those objects you use, e.g.
\override Staff.Clef #'color = #(rgb-color 0.4 0.5 0.6)
\override Staff.NoteHead #'color = #(rgb-color 0.4 0.5 0.6)
\override Staff.Beam #'color = #(rgb-color 0.4 0.5 0.6)
\override Staff.Slur #'color = #(rgb-color 0.4 0.5 0.6)
etc.
There's probably a much better way but I can't figure it out. Alternatively, as has been suggested before you could consider doing some post-processing on the output from Lilypond, which may be simpler depending on the tools you have available.
I strongly recommend that you read the excellent documentation, in particular how to navigate the Internals Reference as covered by the Learning Manual and the Notation Reference
Also you may obtain a better answer from the lilypond-user mailing list.