To make changes to the display surface visible you have to call pygame.display.flip() or pygame.display.update(). Furthermore I recommend to handle the events by either pygame.event.get() or pygame.event.pump().
Note you have to do a delay in the loop, otherwise the color will fade rapidly. If the color is not in range [0, 255] you'll get "invalid color argument" error. That happens because the loop in your example never terminates. You missed change = False.
anyway, since you have a application loop, there is no need to do the fade in a separate loop. Use the main application loop:
game = True
colorR = 0
colorG = 255
colorB = 0
def rgw():
global colorR, colorG, colorB
win.fill((0, 0, 255))
if game:
pygame.draw.rect(win, (colorR, colorG, colorB), (10, 10, 200, 50), 0)
if colorR < 255:
colorR += 1
pygame.display.update()
run = True
while run:
clock.tick(60)
for event in pygame.event.get():
if event.type == pygame.QUIT:
run = False
if event.type == pygame.MOUSEBUTTONDOWN:
game = True
elif event.type == pygame.KEYDOWN:
if event.key == pygame.K_BACKSPACE:
run = False
rgw()
pygame.quit()
