No pet owner would purposely feed their pets coal or oil, and dogs in my experience do not care what color their food is. There are all sorts of possible side effects linked to ingesting petroleum food dyes including but not limited to:
When I spoke with a Purina Representative I was told some people enjoy the bright colors of their pet's food! I suppose that is possible. Follow this link to learn more http://cspinet.org/new/pdf/food-dyes-rainbow-of-risks.pdf.