And would it be possible to get the colour(s) of this player?
Yes, it would be easy to return the first (and if present, the second) company color, or a random color if the industry has no owner.
If not, could we have one more field in the industry structure - the colour of the company that it had when it have built the industry?
You don't need a second field for that - industries already have a "color" field. We'd just need a new flag in property 1A that makes sure the color of the founder company gets written to this field instead of a random value. You wouldn't even need to care about any details; just enable recoloring without specifying a recolor sprite number, and you get the correct color. You couldn't use the second company color with this, though.
You just need to decide what would be better for you - an industry that changes color when your company changes color, and reverts to a random color on bankrupt, or an industry that gets its color from your current company, but never changes it later.