Menkaure's pyramid may have been painted red.

It's the newest and smallest of the three pyramids of the Giza necropolis. Where Khufu and Khafre's pyramids were cased top to bottom in polished white limestone, Menkaure's pyramid is cased several courses up in red granite, then the top 2/3 of the pyramid's height in limestone. I've seen a theory put forward that the upper limestone was painted red to stand out among the larger megaliths.

Kind of reminds me of Pete Conrad, commander of Apollo 12. The Johnson Space Center in Houston has a grove of trees grown from seeds flown in space, each is planted for an astronaut who passed away. During the Christmas season they're lit with white lights...except for the tree planted in Conrad's honor, which is lit with red lights to honor his motto "If you can't be good, be colorful."

I'm pretty sure, with all the pyramids there are, there'd be some evidence or residue if this were the case. It'd also be an absolute shitload of paint. There would probably be archeological evidence for massive paint making in the region. They did paint stones, but I don't think they painted the outside of the pyramids.