The short answer is that, yes, it definitely is feasible. The most basic approach is to use the "BoxRules"
option of Export[_,"TeX",___]
to generate the TeX color commands. To do this with your example, we might use the following BoxRules
function:
Clear[myBoxRule];
myBoxRule[s_String] := s;
myBoxRule[RowBox[stuff_List, ___]] := StringJoin[myBoxRule /@ stuff];
myBoxRule[FractionBox[numerator_String, denominator_]] :=
"\\frac{" <> numerator <> "}{" <> myBoxRule[denominator] <> "}";
myBoxRule[StyleBox[s_String, fColor_RGBColor, opts___]] :=
"\\color[rgb]" <> latexColor[fColor] <> s <> "}";
myBoxRule[StyleBox[stuff_RowBox, fColor_RGBColor, opts___]] :=
"\\color[rgb]" <> latexColor[fColor] <> myBoxRule[stuff] <> "}";
We can apply this to an example like yours as follows. (I modified your example a bit to emphasize the nested structure.)
SeedRandom[2];
expr = Nest[1 + 1/Style[#,
RGBColor[Random[], Random[], Random[]]] &,
x, 5];
ExportString[expr, "TeX", "UsePackages" -> {"color"}, "BoxRules" ->
{box : (_StyleBox | _RowBox | _FractionBox) :> myBoxRule[box]}]
(* Out:
%% AMS-LaTeX Created by Wolfram Mathematica 9.0 : www.wolfram.com
\documentclass{article}
\usepackage{color}
\newcommand{\mathsym}[1]{{}}
\newcommand{\unicode}[1]{{}}
\newcounter{mathematicapage}
\begin{document}
\[1+\frac{1}{\color[rgb]{0.902785,0.672727,0.419794}{1+\frac{1}{\color[rgb]{0.632356,0.0725195,0.251276}{1+\frac{1}{\color[rgb]{0.529257,0.0507012,0.74907}{1+\frac{1}{\color[rgb]{0.421515,0.512692,0.0228035}{1+\frac{1}{\color[rgb]{0.238705,0.844529,0.473928}{x}}}}}}}}}}\]
\end{document}
*)
The TeXed output looks like so:

This does not seem to work with MathJaX on this site. It's possible that the color package simply isn't installed.