Since it's fantasy and whatnot, her hair, as painted in concept, model, etc, is actually orange. A darkish orange. In real life you'd probably consider her hair to be red, but it's more vibrant, so you'd only be able to get that particular color by dying it. The splash has a lot of ambient strong light so it makes the dense areas of her hair dark and making her seem more like a brunette, but rest assured, she's a red/orange-head.
Neat thing is, in all of her skins she's a redhead. Her Valkyrie skin hair is a bit darker, but it's still in the real life red range. I'm of the opinion that despite any skin we make for her, we keep her hair pretty much the same. I think if we loose it we loose something key to Leona =)
The color, as I imagine it, is what you'd find on the background of my twitter profile: