Preheat oven to 375°F. Line 2 cookie sheets with parchment paper.
In a medium bowl, whisk together the confectioners sugar and cornstarch; set aside.
In a large bowl combine the cake mix, eggs, and melted butter. Beat with an electric mixer until thick and well blended.
Divide the batter into thirds. Stir the red food coloring into one-third and the green into another third. Leave one third white. Working with one color batter at a time, divide the batter into 24 pieces, about 1 1/2-inch circles. Drop the pieces into the confectioners sugar mixture and roll into a ball, coating with the sugar. Transfer the ball to a prepared cookie sheet. Repeat with the remaining batter, placing the balls about 2-inches apart.
Bake until the cookies are lightly browned around the edges and puffed, 9 to 10 minutes. Transfer the pan to a wire rack and cool several minutes before transferring the cookies to a wire rack to cool completely. Repeat with the remaining cookie dough.