By using the parse function, included in Colors package, and the @colorant_str macro the issue can be overcomes:
@pgf Axis(
{
xlabel = "Cost",
ylabel = "Error",
},
Plot(
{
color = parse(Colorant, "NavyBlue")
mark = "x"
},
Coordinates(
[
(2, -2.8559703),
(3, -3.5301677),
(4, -4.3050655),
(5, -5.1413136),
(6, -6.0322865),
(7, -6.9675052),
(8, -7.9377747),
]
),
),
)