The list of graphical objects you need is at the bottom of this page. So a simple albeit tedious approach would be to iterate through all those objects you use, e.g.
override Staff.Clef # color = #(rgb-color 0.4 0.5 0.6)
override Staff.NoteHead # color = #(rgb-color 0.4 0.5 0.6)
override Staff.Beam # color = #(rgb-color 0.4 0.5 0.6)
override Staff.Slur # color = #(rgb-color 0.4 0.5 0.6)
etc.
There s probably a much better way but I can t figure it out. Alternatively, as has been suggested before you could consider doing some post-processing on the output from Lilypond, which may be simpler depending on the tools you have available.
I strongly recommend that you read the excellent documentation, in particular how to navigate the Internals Reference as covered by the Learning Manual and the Notation Reference
Also you may obtain a better answer from the lilypond-user mailing list.