Screen caption custom colors

I am having trouble customizing the color of my caption in screen. I can use the 8 standard colors supported (as well as their brighter versions), but I am unable to define a custom color. The docs for screen state: "Colors are coded either as a hexadecimal number or two letters ". It does not seem to define anywhere what format to write the hex number in. I have tried several random ways but so far none seem to work. Does anyone know how to use a custom color in screen?