The only thing I can think of would be if you can find a really small lightstrip (I normally buy much longer, but you can probably find them in 1-ft or 6-in sections) and connect that to a Zigbee RGB (or even just a 2-channel controller of some kind with an RGB strip where you ignore the B wire, or a red-only and green-only strip each connected to their own 1-channel controller, or whatever else you can think of here). Gledopto, RGBGenie, and probably others make Zigbee controllers, and if you're not protocol-picky, there are also lots of Z-Wave options. With any of these, you could set that to a specific color based on whatever you're looking to use this for. Still might be a bit bigger than you want, but the fact that they're strips and not bulbs might give you more flexibility as to where you place them.
And again if you're not stuck on Zigbee, there are a few Z-Wave options that might work. The HomeSeer HSM200 mutlisensor has a controllable LED (you can just ignore the motion-sensing capabilities and whatnot). The Fibaro Wall plug (with or without USB port) has an LED ring that is also color-controllable (Hubitat's driver doesn't provide a way to change this with commands, just preferences, but I wrote a custom driver that does, and hub firmware 2.2.5, whenever that comes, will apparently also provide some device preference automations that may work instead). But both of these plug into outlets rather than screwing into light sockets if that matters.
There is also the entire current generation of Inovelli switches and dimmers (LZW30, LZW30-SN, LZW31, LZW31-SN, and LZW36). The switches have a small LED in the bottom right (or top left if you want to mount it opposite), and the dimmers have a large LED bar down the entire right side. With all of these, you can control the LED color via hub commands if you have a driver (like Inovelli's, or again a custom one I wrote) that lets you. The Red Series lets you do a bit more with the LED bar (and buttons), but you don't need that just to change color. But obviously these are wall switches, so neither a plug-in device nor a light bulb substitute. Just mentioning them because I use them, in part, for what I suspect you might be using them for, too: mode or HSM status. 
Finally, if you don't care that it looks good (and again aren't stuck on Zigbee), I'm sure you could DIY something with a multirelay or even something like HubDuino or another LAN solution and an LED or two on a prototyping board, but if it's visible, that might not be the look you're going for.
