I just looked into it and it seems to be a hard task. Unfortunately Finder is using quite low-level API from DesktopServicesPriv and HIServices frameworks to obtain actual label colors. I didn’t find an easy way how to override that functionality.
During my investigation I found source of color definitions in HIServices framework binary. The logic is implemented in CopyLabelColorAndName which uses default (cached) colors hardcoded in the binary or alternatively looks into com.apple.Labels.plist.
Unfortunately I wasn’t able to define custom colors via com.apple.Labels.plist, maybe this functionality is somehow disabled under Catalina and that legacy code-path is never executed, or I don’t know how to trigger it.
btw. this com.apple.Labels.plist was interpreted as one other user reported in 2014: Problems with tag colors