Add custom colors to the WordPress editor via `add_theme_support`

add-custom-editor-colors.php

<?php
/**
 * Add custom colors to the WordPress editor via `add_theme_support`
 *
 * This takes the existing colours (if your theme or a plugin has set any)
 * and combines them with a new set of colours defined in the function
 *
 * New colours should be visible in the various color pickers found in
 * WordPress admin
 */
function add_custom_colors_to_palette() {
	// Get the existing colors if the theme supports it
	$existing_colors = get_theme_support( 'editor-color-palette' );
	// Set custom colors
	$additional_colors = array( 
		array(
			'name'  => esc_html__( 'Custom Color 1', 'twentytwentyone' ),
			'slug'  => 'custom-color-1',
			'color' => '#aa5555',
		),
		array(
			'name'  => esc_html__( 'Custom Color 2', 'twentytwentyone' ),
			'slug'  => 'custom-color-2',
			'color' => '#55aa55',
		),
		array(
			'name'  => esc_html__( 'Custom Color 3', 'twentytwentyone' ),
			'slug'  => 'custom-color-3',
			'color' => '#5555aa',
		)
	);
	// Merge if there are existing colors
	if ( isset( $existing_colors[0] ) ) {
		$all_colors = array_merge( $existing_colors[0], $additional_colors );
	} else {
		$all_colors = $additional_colors;
	}
	
	// Set the colors again
	add_theme_support(
		'editor-color-palette',
		$all_colors
	);
}

// Change priority to 20 to hook in later
add_action( 'after_setup_theme', 'add_custom_colors_to_palette', 20 );

Adding priority 20 was the clincher. I was panicking thinking that add_theme_support( 'editor-color-palette', $did_not_take_a_variable_or_callback ); Glad that it does! Thanks for this 👍