What do you define as a Huguenot colony?? If you just mean a settlement in the new world made up (initially) of majority French protestants then that is OTL (eg new Rochelle). If you mean a settlement made up of majority French protestants which is also within French rather than English held territory that could be easily achieved simply by a change in French colonial policy (reverse the policy which required all settlers to be catholic).
IOTL there were Huguenots amongst the settlers at Kaapstad.the Huguenots run to the Netherlands and from there to Dutch colonies like Kaapstad and New Amsterdam.
IOTL there were Huguenots amongst the settlers at Kaapstad.
What if France decides to use them as a weapon against Spanish expansion? Placing a Protestant French colony in Spain's way could have several advantages for France in the new world. First it would clear out some Huguenots from France proper, second it would check Spain's expansion, and third it leaves the Huguenots at the mercy of France since they can't turn to Catholic Spain and they still need support from home.
The French like the Spanish preferred keeping the New World clear of non-Catholics.
What you could have happen is the Huguenots don't rebel for longer. Say maybe towards the end of the Thirty's Years War instead of the beginning and middle. Then come Huguenot rebellion and its subsequent failure the Huguenots run to the Netherlands and from their to Dutch colonies like Kaapstad and New Amsterdam.
Or perhaps the Huguenots win the Wars of Religion, but this requires major work.
How about a POD of the Siege of La Rochelle in 1627?
http://en.wikipedia.org/wiki/Siege_of_La_Rochelle
This was the second siege of the French crown against the Hugenots in La Rochelle. Have the crown deport the survivors to St Kitts, or Guadeloupe, or French Guiana.
IOTL there were Huguenots amongst the settlers at Kaapstad.