Yep, it's either the cable or the TV. If the TV gets full color on everything else but the DVD player, then it's probably the cables. Worst case, it's the DVD player, but more likely just the cables.
We had something like that happen at work, on one of the computer systems we were building. The internal KVM (Keyboard, Video, Mouse) unit was showing a blue image that would occasionally flicker to full color. In the end, it wound up being an internal connection that was causing the problem, so we had to send the whole thing back. And those things are like two grand a pop.. hehe.