Yes, fragrance oil can affect the color of candles. If you put a yellow fragrance in a white candle, it turns a light shade of yellow and can darken even more over time. Adding a yellow fragrance with blue dye may create a slight green shade.
This effect can be offset with heavier uses of dye for darker colored candles. However, a lighter colored candle may require a different fragrance if maintaining a particular color is a concern.