This is the exciting part. Yes there are - and they're a bit rarer than your traditional white diamonds. They're called "fancy color" diamonds. In mined diamonds, this can happen when trace elements (e.g. Boron for Blue) are found in diamonds, causing coloration - with lab diamonds, we can also re-create this by introducing very specific amounts of trace elements. However, its a delicate science and getting the same level of color each time can be hard - just like with natural diamonds!

Fun fact - pink diamonds are not caused by impurities. They're much rarer, because the pink comes from a distortion in the diamonds' crystal lattice. We can create pink CVD diamonds through specific irradiation - but it's a lot harder than the other colors