I side with the people who say Lion-Man, who appeared in 1947 in All-Negro Comics, is the first black superhero, but I see the problems with that claim. He didn't wear a mask and he didn't have superpowers. Still, he meets two of my requirements: he goes into action using a fantastical name instead of his legal one, and he was published in color.
Lion-Man at Public Domain Super Heroes describes him:
This Tarzan-esque adventure story begins with this foreword: “American-born, college educated, Lion Man is a young scientist, sent by the United Nations to watch over the fearsome ‘Magic Mountain’ of the African Gold Coast. Within its crater lies the world’s largest deposit of Uranium – enough to make an atom bomb that could destroy the world. Lion Man’s job is to report on the doings of any treacherous nation that might seek to carry away any of the lethal stuff for the purpose of war." The Lion-Man's mischievous sidekick was a young war orphan named Bubba. They fought the villainous Doctor Blut Sangro, an evil figure, and his guide, Brossed the Beachcomber.Kristopher Mosby argues at Darker Masks: The First African American (Costumed) Superhero? that a superhero needs a costume. For the first black superhero, he proposes the Black Phantom who appeared in 1964. The Black Phantom wears a proper superhero's outfit, and, inverting the '40s cliche of white hero and ethnic sidekick, his partner is a white boy.
The Black Phantom was published in a black and white fanzine, so if you think that invalidates him from consideration as the first black superhero, I understand. He continues to be an interesting contender for the title.
For more about Lion-Man:
Before there were RiRi Williams and Black Panther, there was Lion Man
ETA: The Black Phantom's first and, sadly, only adventure is shared at The First African American (Costumed) Superhero? It's better than you may expect.