If I'm interpreting what you're trying to do correctly, this should work:
const
stateColor : array[TOC_StepState] of array[TOC_StepState] of TColor =
((clRed,clRed,clRed),
(clYellow,clYellow,clYellow),
(clGreen,clGreen,clGreen));
or
const
stateColor : array[0..2] of array[TOC_StepState] of TColor =
((clRed,clRed,clRed),
(clYellow,clYellow,clYellow),
(clGreen,clGreen,clGreen));
This syntax would also work (but I find it somewhat less readable - you may feel differently):
stateColor: array[0..2, TOC_StepState] of TColor =
((clRed, clRed, clRed),
(clYellow, clYellow, clYellow),
(clGreen, clGreen, clGreen));