I'm trying to merge 4 different coloured shapes so I can apply a warp to them.
By warp I mean; make them look like there going off into the distance.
However, pathfinder turns the shape into one colour.
Is there a way to merge the different coloured shapes?
You can group different colored shapes... Object > Group
You should also be able to simply select the 4 different objects and apply your warp or transformation with the objects selected.
Pathfinder is not the tool you want to use if you have objects of differing appearance. Pathfinder assumes you want all the objects to have the same appearance but a different construction method.