You are absolutely right. Neither colour nor a colour is spatially extended, and a colour like pink is exactly not like a gas that fills up a volume or spreads itself, perhaps very very thinly, over a surface. That is a category mistake. Nor do colours have thicknesses. I am delighted to see a recognition of this important point, to which I have found very little attention paid in the literature on the philosophy of colour. Though I tried to get started sorting out the tricky logic of "pure" colours, as Wittgenstein calls them (to be contrasted not with impure colours but with things coloured the colours), in Chapter 7 of Colour: a Philosophical Introduction, published in 1987 and 1991, but that was only a beginning.
Consider two patches of the same red, patch A surrounded by green and patch B surrounded by red. We can say that the colour of patch A is identical with the colour of patch B. But then as G.E. Moore pointed out (in his early paper on "Identity") it follows, or seems to, that the colour of patch A is surrounded by red as well as by green. The right conclusion is that the patches do not have the same "surrounds", but that the colours they are coloured do not in logical grammar have surrounds at all. This means of course that the way that we describe simultaneous contrast (just for example) will not be as one colour being affected by the surrounding colour. Quine's conclusion was that a colour is a scattered object, like water, and that the colour of patch A is surround by red here, and green there, just as these waters are in France and those in England.
You are also right to say it seems to us that colour is spread out in space, and colour scientists have incautiously spoken about surface and volume colours. What we are talking about when we talk about volume colours are strictly not colours, I think, but the way colours look. The inky blue has the look of something into which one could reach, like a volume. Or "the colour" looks "spongy", say, when the ability to see surface colours is lost. And sponges are three-dimensional.
Perhaps there is nothing to worry about here. Numbers obviously are non-spatial, but one can have an impression that it is wrong not to describe as one of numerousness or multiplicity or something. If I see a lot of cows in a fiedl, I can see that there is more than one, though I may have to count them to see exactly how many. Before I do that, I might have the impression that - it looks (in the phenomenological sense) as though - there are a number of cows around the field. But the number itself is not spread out around the field, like slurry, for example. Appearances can be deceiving. It may be though that all that is needed is a sensitive treatment of the problem of universals as it applies to colours, and a recognition of the differences that exist among the characters of universals in different sensory modalities. Colours do not have origins, like sounds, for example, and so their relationship to space is not the same as the relationship of sounds to space.
I would hesitate to call the impression that the colour is in space any sort of illusion. It is something that the way colours manifest themselves gives us some temptation to believe, but I am Wittgensteinian enough to believe that such temptations should be thoughtfully resisted. Colours have only three dimensions, and they are not spatial. If something is scaled in some other dimension, then it is not a colour.