That choice of colors has been that way since TnyWall was born more than 8 years ago. I guess changing that now would confuse a lot of users.
But to try to explain why it is to: These colors are meant for the user. Green is the recommended setting and the normal mode, this is why green, it is supposed to encourage the user. Red is dangerous and not recommended because it allows all apps to go out. Red is used to discourage the user in this case. Yellow is not dangerous, so not red, but still a warning that the firewall is blocking everything, so any kind of networking will not work. The color of warnings is typically yellow everywhere else too.
I know these are not typically the colors that other firewalls use, but I wanted you to know what is the general idea here. TinyWall's colors make more sense if you think about them as status indicators to the user, and not as firewall rule colors.