What I am trying to do is to add a custom tab with custom colors into the ColorUI class of ColorEditor class which appears into the PropertyGrid of controls.
Something like this: ( Just a fake image made in Photoshop ).
I understand that in some way I have to create my own ColorEditor class and override the ColorUI class which is nested inside original ColorEditor class but I don't know which Method I have to override so to add this extra Tab etc.
Any idea?

Probably a more flexible (and less hacky) solution will be recreating the
ColorEditoras mentioned by Jimi. I also may take a totally different approach for supporting theme colors, for example creating a theme extender provider component, or creating derived controls or other possible solutions.Anyways, to support my previous post, specially where I mentioned 'You even can add another tab to the editor.', here I post a sample code to add another tab to the color editor, then you can see the custom tab (theme) with the custom colors that you need, like this:
It's a real screenshot ;) not exactly what you asked, but good enough as a sample code. For example if you need to use custom names for the colors, then you need more customization in
DrawItem(like what I did in the example), or rewriting the control from scratch.And here's the code:
Note: It's relying on implementation details of the color editor, for example, in .NET 5+, the member field name is "_colorUI".