There’s no way I know to permanently change that as a part of a theme. 

And I don’t think it’s possible even in the admin Control moderation; I thought maybe you could adjust the color in the code, but I’m not sure how you’d do that in this: 
 

I’m out of my technical depth here, but there’s probably a way to customize it via a third party script or custom CSS. If you can add the logic to redefine the class for callout-red to a specific hex code. 

I’d love for this to be something added to the theming capabilities.