Lower Decks finally provided the in-universe answer to this question: blue and green are natural variations in Orion skin-tones. The skin coloration has nothing to do with sex or gender assigned ...

Technically speaking, the first Orion to appear in Star Trek was Marta in Whom Gods Destroy. Vina, as "Orion slave girl" was a Talosian illusion in The Cage, and doubly so in The Menagerie, Part II.