Hi Petr,
By default, you cannot change the color of output from the functions. However, you can do slight modification to the code to make the clear distinction. Here is the code, update the periodogram function with outputs and plot it. However, this can be applied even for pwelch.
[pxx,w] = periodogram(x,rectwin(length(x)),length(x));
plot(w,10*log10(pxx),'r')
Hope this helps.
Regards,
Sriram