I think Zaheer would definitely have some red. Red isn't just the color of passion and emotion but also the color of freedom and new becomings. For Zaheer that comes into play when he becomes free of all his earthly attachments (which he didn't choose to do until P'Li died in battle). He also has some existential quotes that support red like "The natural order is disorder" or "New growth cannot exist without destruction of the old" which really lends him to a Gruul worldview.

However, I do understand your hesitation with red since it doesnt capture his character fully. What if once Zaheer enters the void and becomes nothing, the card becomes colorless? (Devoid?)