Hello A.,
You can use:
1/ with old skinparam:
skinparam ArrowColor Blue
[*] --> State1
'...

[See on PlantUML server]
2/ or specific on State:
skinparam StateArrowColor Blue
[*] --> State1
'...

[See on...]
3/ Or with new style global (now preferred):
<style>
arrow {
FontSize 13
LineColor Blue
}
</style>
[*] --> State1
'...

[See...]
3/ Or with new style specific of State diagram (now preferred):
<style>
stateDiagram {
arrow {
FontSize 13
LineColor Blue
}
}
</style>
[*] --> State1
'...

[See...]
See also:
Enjoy!
If that can help,
Regards,
Th.