Blood

The skin of the species is actually transparent, as subterranean species don't benefit at all from any coloration of the skin. If they never go to the surface, making something like melamine to shield internal organs from sunlight is a waste of energy. As a result, the skin is translucent. Due to the lack of natural light, the species also will be most likely blind, eyeless, or just detect light and try to stay away from it. I suggest reading a paper on cave adaption.

What you actually see as the color of the aliens' skin is the thin layer of blood vessels, which makes the skin appear red. It's the same that gives human skin a red-to-pink tint. That is, the skin looks red without actually being red once removed from the body and dried.

The red color in this case is Haemoglobin, an iron complex. Would it bind in a different molecule, the blood (and skin) would have a different color:

• Red is Hemoglobin when it binds Oxygen to its iron.
• Purple-blue is Hemoglobin when it binds Carbon-monoxide - usually lethal
• Blue is Hemocyanin and binds copper instead of iron.
• Green is Chlorocruorin and binds its iron differently to Hemoglobin.
• Purple is Haemerythrin and binds two iron per molecule.