The dark orange neon signs are filled with pure neon gas. Other colors of neon signs are actually neon mixed with other types of gases. Some gases may give off several different colors of light, but that set of colors only occurs in that particular gas. The auroral lights' colors are determined by the gases in the Earth's atmosphere. In the ionosphere, where the collisions are taking place, incoming solar particles collide with oxygen and nitrogen gases.
Oxygen atoms give off green and red light.
Nitrogen atoms give off blue light. Other gases also give off light, but it is difficult for our eyes to see it. Listen to David Stern of NASA's Goddard Space Center. To Listen to this clip you will need the RealAudio player.