There are two routes I suggest considering to decide a color. Disclaimer: I'm basing all of my statements following this sentence on basic surface-level Wikipedia research.
So the mythological nymph Calypso took Odysseus prisoner on the island of Ogygia. The island is apparently devoid of human elements and consists of thick foliage and a cave decorated with vines. Overall, it invokes a feeling of a warm yellow-green, like a sunrise over summer flora. She apparently enchanted Odysseus with her singing while using her loom with a golden shuttle. The conclusion of Calypso's story involves setting Odysseus free on a raft, so I believe an oceanic blue would be appropriate as well.
Another option would be to consider the etymology of the word, which comes from the Greek for "to cover" or "to hide," and Calypso's name has been translated as "concealing the knowledge." There's... also some several-generations removed way of connecting it to the word "Hell" in English, but... bleh.
You can make of that whatever color-related decisions you like.