These are actually specified in MagicPrefix.txt and MagicSuffix.txt, which both contain a column called 'transformcolor'. For the suffix "of Swords" the value is 'oran', which means orange (these are described in and read from colors.txt). All damage return items have the same color, including helms.
If an item has both prefix and suffix, then the suffix value will be used. For weapons, the only one that uses orange colors are "Howling", "Wailing" and "Screaming". These are all prefixes, so you would need a suffix which doesn't have a color associated at all. There's quite a few of these.
The only unique weapons with orange color are The Chieftain, Jade Tan Do and Razortine. For Helms, Tarnhelm is the only one. The only orange set items are the Aldur's pieces. Sadly, none of the gems uses orange color either.