There are three prominent colors featured: red, blue, and yellow. This could reference the different X-Men comics which are X-Men Red, X-Men Blue, and X-Men Gold.
The voice on the radio says "Why is it blue? It's always blue.", referencing the conversation between David and Lenny that the Shadow King altered. Additionally, the soundtrack to Legion season 2 is titled "It's Always Blue".
The cat clock on the wall in the background during the radio scene could be a reference to the cat clock in Back to the Future (1985).