I guess that the coloring in the SQL Editor is just a display attribute and it is not actually the font color that is changed and I think that the only thing that you can do is manually change the color of the relevant part of the code after pasting it into Word.

It's exactly the same if you copy code from the Visual Basic Editor and past it into Word. The blue, green and red colors that may appear in the VBE are not retained when the code is pasted into a Word document.