There is a reason well several but this is the one often quoted; there is a tradition amongst scottish blackface sheep owners of taking their sheep to shows dyed orange the stroy goes that the farmer could see the brightly coloured ram moving across the ewes on the side of a hill.
Now the biological explanation because there really are orange sheep!
heres one

this photo and sheep are not photo shopped dyed or in any way enhanced. nor is it a result of mud colour or other natural phenomena its colour genetics!!!!!
in shetland sheep there exists a gene which is curently being explored its called colour modification and it changes coloure d sheep to make them a few shades lighter; most shetlands these days are so purely bred for even colour the often fading red tones are bred out of them but in sheep that stil have red ( phaeomelanin ) this colour modifiying gene changes the normally dull browny red to something far more intense and so you get orange sheep! the colour eventually fades out but in intense animals last until at least after the first shear. The sheep in the photo by the way is a ouessant. it is most likely that a stray shetland gene moved across and mated with a scottish blackface hence the original ( many moons ago) orange from time to time scottish blackface;