Blue and white are common colors for ethernet jacks; orange is less common. As long as the cables are punched down the same on both ends, there should be no compatibility problems.
One possibility is that there is something wrong with the cable running to one of the jacks. It could have become distressed at some point and stopped working. It could be missing, or it could've been cut. Another is that it is not connected to anything.
Generally, your description of the problem does not make sense to me. Your router should be connecting over ethernet to a modem. All the jacks could be connected to a switch, with the modem also connected to that switch, but that would be unusual for a home setup. All the jacks could be connected to another router, with that router connected to a modem; that would be more likely but still unusual. The key here is that you need to know how each jack is connected to the network.
The orange jack could indicate that there is something different about it. It could be connected to fiber, it might not be punched down straight-through, or it might just be connected to another jack somewhere that is also orange.