I think you are mixing up status colour and column colour (this is not an obvious thing from the docs, and I don't think the UI even mentions it, so I'm not surprised if you are).
Each status has a "status category" which determines the colour of the status - grey (none), to-do (blue), in-progress (yellow), done (green). In plain Jira Core, this does little more than try to give end-users an idea of what the general status might mean.
Jira Software boards also have colour codes, and they use the same colours and names for them. But they apply to columns on the boards, not status. The boards also have a very simple rule (one that I would argue needs some flexibility added to it, so the blue and green can be extended to more column, but that's another discussion) - the first column is to-do (and hence blue), the last column is done (green), and all the others are in-progress (yellow).
The colour for a status does not have to match the column colour. In simpler cases, it should match, but there are times they won't match. This often confuses people.
The only time the colours do interact directly (that I can find) is when you create a new board or project with a board - most start with three basic columns, one of each colour, and then group all the status they find in the board filter by their matching colours.
I'm afraid this answer explains what you're seeing, but might not tell you what to do about it! If you can, try to stick with the default rule and match the status colour to the column colour.
Finally, to answer the burndown chart question - those are based on the board, where only the last right-hand column. To get your burn-down correct, put all the "done" status in the last column. It does not matter what colour those status are, all that matters is that they are in the last column.
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