I have never seen factory pained ones. You can paint them, but you probably want to remove the texture first. I know a guy that painted the bags on his bike, and the local dealer here did one recently also. Looks real nice.
Do they make color match bags or are the bags on a sport glide paintable?
I don't think it is possible to buy them painted from HD (painted parts list includes them, but they are the same code for each colour scheme with a BYM suffix). I've seen where people have successfully painted them.
I don't recommend it though. I had colour matched bags on my Moto Guzzi, and it was difficult to prevent them from getting scratched and scuffed due to the nature of bags. I find these ones are pretty mark resistant in their natural state and I'm inclined to leave them that way.