Sorry, cannot be done since no information in the file related to z or color. One can have color info in segment headers and instead of all columns together you would instead have 3 x,y segments.
What you have is ok unless you need to make lots of these with different colors.
If you have many columns, you can easily automate this with a list of colours and a for loop.
e.g.
num_cols=3 #number of columns in the file including y column
color_list=("red" "blue" "yellow") # this can be RGB codes, list = number of x columns
for (( i=1; i<= $num_cols; i++ ))
do
col1=$(($i-1))
col2="$i"
color="${color_list[$col1]}"
echo "gmt plot t.csv -W1,$color -i$col1,$col2" # this is to show the output only
done