Blondes have more fun, because of the saying 'Blondes have more fun'.
Because of the infinite mutability of hair colour, anyone wishing to have more fun will go blonde, and due to other changes they make, will probably succeed, and thus will confirm the saying. If the saying was 'Redheads have more fun', people wanting more fun would dye their hair red, instead. They're all self-fulfilling prophecies. It happens quite often that saying something causes it to become true. Though it sounds deep, this is basically a case of not enough information.