When you add electrical energy to a gas, it gets excited. Basically the electrons jump up to another energy level. When they come down to their natural resting level, that energy has to go somewhere, so the electrons emit photons. This is known as fluorescence and it’s also how fluorescent lights work.
Depending on what has all that extra energy, you get different colors of light. Excited air (nitrogen, oxygen, etc.) just happens to fluoresce in that iconic electric blue.
What you experience as sparks from electricity in your case has 2 causes. First of all, the sparks that fly off and glow orange are actually burning metal. Not molten. Burning. When metal is sitting at rest, it has a thin oxidation layer. In steel and iron it’s a thin coating of rust. Other metals also have it. When you knock some of that metal off with a decent amount of energy (like enough to ignite it) it immediately reacts with oxygen and burns, glowing bright briefly. In the case of a high tension line transformer or a car battery, there’s a ton of amperage involved. Add enough amperage, and some of that metal is going to fly off from the sudden flow of energy.
Otherwise, the sparks you see from the wire as it arcs to the terminals of the battery are the same as lightning, but they have another component that changes the color of the arc. Some of the wire is actually shooting off the end, over the arc, and onto the terminal. It’s also how arc welding works. The presence of the metal actually changes the composition, and thus the color of the arc.
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