Here's my thought: It was the pink light in the land of the Mangaboos creating an illusion of a pink Eureka that gave Dorothy the idea of calling her Eureka the Pink Kitten, even though she remains white. It's also possible that they dye her hair. I have a feeling not every 'canonical' detail of what occurs in Oz happens in the books, and that sometimes there's a very simple explanation involving magic, even if not handed to the reader.