It's a tough question.
Assumptions:
1. Your neutral is grounded.
2. This is field-installed wiring, routed outside of a switchboard. This is not factory-installed wiring, and it's not all contained within a switchboard. You're routing from a CT cabinet or similar, via conduit or similar, to some remote devices.
3. This is considered Class 1 control wiring per NEC 725.
That said, I can't find anything in the NEC that would permit you're neutral to be any color but white or gray (grey?). . . . except possibly NEC 725.25 Exception No. 1. And even then, I think it could possibly be interpreted either way . . . . Unfortunately, I've always found 725 to be a very difficult article to read/understand/apply.
Your best bet is probably to call up your local inspector or plan reviewer, and see what he thinks.
Has this already been installed? Do you have any good reason to make it some color other than white or gray?
Also, please note that if this is factory-installed wiring located in a switchboard, then most likely the wiring is type SIS, which is ALWAYS gray in color, and factory wiring does not fall under the scope of the NEC.
Hope this vague answer helps.
And "wahala-wasahala", or however you say "welcome" in Saudi Arabia (that one phrase constitutes my entire Arabic vocabulary).