Night had once said that Story is something like an angel, I think he mentioned it in the "Man Who Heard Voices" book. Cleveland even mentions that he thinks she's an angel during the healing. I personally think that the hair started turning blonde/white as the movie progressed because 1) she was in fact out of the water, but also that 2) it was Night's way of transitioning the audience's thinking, sort of moving past the idea that Story was a Narf and moving more towards the idea that she was an Angel. Because, at least for me, when I think of an Angel, I think of a sort of bright, ethereal sort of being. And, no offense to red heads, but I think the blonde/white hair sort of conveyed a more angelic sort of persona.