I’ve had similar problems finding colored vinly. You can buy clear vinyl sheet at most fabric stores (but it’s probably .015’‘-.020’’ at the thinnest). As far as coloring it, you might try Krylon Fusion paint, though I don’t know how well it stands up to stretching. Vinyl Dye paint like Plasticote’s Ultra Vinyl Color are also worth a try. Here’s a tutorial you might find helpful.
If you ever find a source for the really thin stuff, be sure to let us know.