THIS is ONLY a guess, and my guess, BUT I believe Rome is as close as I can get, also.
Think horse racing and jockeys. (Colored silks)
I "believe" the orange and black were like riding silks, so indeed, the spectators could tell, WHAT co. won the race.
"Back in the day", Co. that wore #1 plate, sold more scoots. The competition was VERY FIERCE on the tracks, for that prize. It meant success, for the company.
Indian's Scout, was kicking Harley's 45" azz. Thus the "K" model from the WL, which turned into the "X" model, which EVERYONE calls, the "Sportster" All in the name, of WINNING.
I have seen 'vintage' pics of board racers and flat trackers, and the MoCo boys, are sporting black and orange striped, "silks".
But "why" they picked B & O, ELEPHINO.

Maybe the Ol' Boys were hung up, on Halloween.

OR more likely, that's WHAT was available, back when they started doing it.
An avenue that MAY have a bearing, BUT I do not know for sure. Allis Chalmers Co, was a MAJOR player in Milwaukee, when HD came about. IT is a possibility, that the Davidson's, were either friends, or acquaintances, of the folks over at Allis. Allis Chalmers, are, of course, orange, silver, and black, and from Milwaukee. A s-t-r-e-t-c-h, possibly, but if you roll the clock back to the early 1900's, THAT was a rather important thing, at the time. Plus, they MAY have 'borrowed' paint, from Allis, given the economic times.
Again, this is ONLY my guess.