Short version: There aremany recipes for commercial "Greek yogurt" but Greek yogurt madeusing traditional methods from skim milk looks fine without white coloring.Greek yogurt that is made using thickeners (instead of by concentrating thesolids) may have that bluish skim-milk look that Zachary Conley described inhis answer. It would not be sky blue or anything, just not the rich creamyyellowish white of full-fat dairy products.
      Traditional Greek yogurt is just yogurt with some of the whey drained off (alsocalled strained yogurt, though that sounds more like you're getting rid oflumps). However, as described on the National Public Radio program "AllThings Considered," many manufacturers would rather try to recreate thericher, thicker texture by using thickening agents.              There is no officialstandard for "Greek yogurt" so as long as they're using approvedproducts (not melamine, for example) this is permitted. Titanium dioxide is awhite pigment used in small quantities to enhance whiteness and opacity infoods, so although I don't specifically know if it's used in fake Greek yogurt,it certainly could be.
      If you don't want titanium dioxide in your Greek yogurt, just read the label. Ichecked my fridge, and Trader Joe's Nonfat Plain Greek Yogurt contains"Grade A pasteurized skim milk, and live active cultures." Nothickeners, no coloring/whitening agents. It was not blue, though if I did aside-by-side comparison with the full-fat version it may have looked lessyellowish-creamy.