The helmet otherwise covers her hair completely and there is no real indication what colour her hair might be under it.
And most cartoon-characters have black eye-brows, so even that is no help.
But looking at the storyboard-artwork for "The Beginning - part III", in the final scenes with Skeletor and Evil-Lyn at Snake Mountain...
You can actually see that in the storyboard-art, there is a bit of her hair possibly showing underneath the helmet when viewed from behind. Atleast that's how I see it. For it doesn't appear to be any fur for the collar and the helmet has never had anything furry on it.
Of course in the final animation, Evil-Lyn's head and neck are covered in shadows when looking from behind. So it covers up any details, but you can still make out that they have not illustrated any hair to be showing underneath the helmet.
Does this mean that at some stage they were planning for Evil-Lyn's hair to be seen underneath her helmet? Or was this just the artist's interpretation for this particular view.
We may never know...