\documentclass[pstricks,border=12pt]{standalone}
\begin{document}
\begin{pspicture}[linewidth=2pt](6,4)
\pscustom[linestyle=none,fillstyle=oefill,fillcolor=blue]{% color _after_ style!
\psellipse(4,2)(2,2)\psellipse(2,2)(2,2)
}
\psellipse[linecolor=yellow](4,2)(2,2)
\psellipse[linecolor=green](2,2)(2,2)
\end{pspicture}
\end{document}