Try to add the following code snippet to the Custom CSS area in Theme Settings to change this

.header-categories-nav.vertical-navigation .menu {
   background-color: #003980; /* Background of vertical navigation */
}

.header-categories-nav.vertical-navigation .item-level-0 {
    border-color:rgba(255,255,255,0.1);
}

.header-categories-nav.vertical-navigation .item-level-0 > a {
    color:white; /* Color of Links */
}

.header-categories-nav.vertical-navigation .item-level-0:hover > a {
    background-color: rgba(0,0,0,0.2); /* Background of Links on hover */
    color:white; /* Color of Links on hover */
}

.header-categories-nav.vertical-navigation .item-level-0.menu-item-has-children > a:after {
    color:rgba(255,255,255,0.6);
}