I don't know about other states but thats illegal here in MN. Lord help you if you ever get caught doing that.
Operating a vehicle with dyed (untaxed) fuel is usually frowned upon in most states. Here in MI, it used to be grounds for losing one's Concealed Pistol License (I can't find it on the list anymore, but operating a locomotive while under the influence will still cause a CPL to get yanked).