More detailled answer.
0) You need another version of GENS (there are plenty of them). My favourite is r57shell mod you can find on this site (Utilities, on your left)
2) With GENS r57shell mod, use "Tools/Hex Editor", then select "Region/CRAM". You'll end with a tiny hex dump :
Each palette codes 16 colors, a color is coded by 2 bytes (format : 0000bbb0 ggg0rrr0 where bbb, ggg, rrr are the amount of blue, green, red respectively) , so bytes from offset 00 to 1F are palette 0 (red), from 20 to 3D are palette 1 (green), etc.
In the "Tools/VDP Sprites" you can highlight each sprite one after another until youu find Nigel, in my capture it's sprites 16 and 17 (but ithey are reordered each frame). You can see that it used palette 2.
So you select some bytes in the hex dumper from offset 40 and select "Edit/Copy Numbers" (for example, I just copied : 00000CCC082404AE0048002408880444)
Then you open your favourite hex editor (because GENS' one doesn't have a search), mine is HxD and you look for these values (you can insert spaces to make it clearer : 00 00 0C CC 08 24 04 AE 00 48 00 24 08 88 04 44). I found two places in ROM (0x901C, 0xFB32).