Think rust.
Yup. On the previously posted list of resulting chemicals from the salt bath, hydrgen gas is there, but not oxygen. So the oxygen MUST go somewhere.
Likely, the recombination of things broken down by the electric current and presence of reactive chemicals (free oxygen, ionized water breaking the table salt into both sodium and chlorine, etc.), all recombine into different things; the metal electrodes (whether the metal is copper, zinc -- though less likely, iron, or whatever) are both oxidized and anodized. Some of the other chemicals suspended in the liquid will catalyze the corrosion process and possibly oxidize themselves, and the corroded metals microscopically flake off and dissolve, discoloring the water.
IIRC, from the list, the only two elemental releases were hydrogen and chlorine. Everything else is recombined. It's a lot of different things to color the water!