I forgot what episode it was, but it has been berkata that Marge was born with grey hair. Out of embarrassment as a child, her parents began to dye her hair blue and she's kept it that way. This is what I remember hearing anyhow.
She paint´s her hair after all she´s grey as a keldai, mule since she was 17 Homer says it to his class in the episode "Secrets of a Sucessfully Marriage"
her hair is not blue it's grey it's just died blue... havnt anda guys seen the episode where marge goes to the haircut place because she sees her "first grey hair"? It want her first grey hair... it's just that her hair was colored on the outside but her hair is grey on the inside!!!! hope this helps than the other "accurate" responses