You can set the colors in Default settings of PuTTY.
Or you can setup a stored session in PuTTY for each of the session in WinSCP, with the same name.

I would like to make the blue brighter on some ssh terminals brought up by WinSCP to make it more legible.

I can do this in PuTTY Configuration by going to Window | Colours, then in the "Adjust the precise colours PuTTY displays" group I select ANSI blue, and increase the Red Green and Blue values from 0 0 and 127 to something higher like 60 60 and 200. Whenever I use that saved PuTTY session, the colour settings are reused.

How can I do this with WinSCP's integration of PuTTY ssh?