gplotmatrix() is not able to do that. The scatter-looking plots that gplotmatrix() creates are not scatter objects: they are line objects. line objects cannot have different colors for different points.
You could, hypothetically, use gplotmatrix() to create the data, and then loop through the returned line objects (first output), replacing each line with a scatter plot using the same information but setting CData as appropriate. You would have to figure out what the source and destination columns are for each object in order to pick out the appropriate continuous information to use as the colour.
