I was just reading about this garment! According to Erik Larsen's "The Splendid and the Vile", it was blue. Churchill could throw it on in a moment when needed.
I read Larsen's book earlier this year (comments here: #776 ) and really enjoyed it.
There's also a neat book out on Churchill's style, "Churchill Style: The Art of Being Winston Churchill," which goes into that garment in detail. It's a fun, quick read about Churchill's personal tastes and habits: