When you start a new game and play through World 0-0 you are normally always a green Yoshi. If you want to choose your color before the level, you must play another game and complete a level on that file. If you complete World 1-1 as a green Yoshi and start a new game, your Yoshi will be pink like the one in World 1-2. If you complete World 1-7 with the red Yoshi, it will instead be blue like World 1-8.