Bauxite is formed principally for Diaspore AlO(OH), bohemita AlO(OH), alumina Al2O3 and sometimes Goethita (an iron h-oxid), you can see that chemically they are same but his crystalline packet is diferent it's shows a diferent colour in nature. to be calcined they change their crystalline packet cause now they became in oxid, they all. Is normal.
Bauxite is composed of alumina, silica, iron, titania etc constitutents and mineralogically it contains gibbsite, boehmite. diaspore, kaolinite, quartz, hematite etc minerals. During calcination /thermal treatment at various temperature and time, transformation of minerals/ change in phase occurs. may be the reason for colouration