Butter is in fact naturally yellow to a degree, simply because the cream which is used to make the butter has a high amount of vitamin A which has a naturally yellow tint to it. As the cream is churned the vitamin A oxidizes and begins to turn yellow.

This is why you have the yellow color which is associated with most butter, though that is not always the case. The yellow color is simply the result of the vitamin A oxidizing in the churning process which is ultimately used to turn the cream and milk into butter.