I don’t know of any color changing conductive materials, not sure if you’ve checked http://www.inventables.com, you might find something on there.
There’s a lot of thermochromic materials that change color with heat, depending on your use scenario you could use current to generate the heat to cause the change (kind of inefficient and wasteful though)
Can you give any more info on what you’re trying to use this for, might help guide the responses