“Rex [was the krewe] known as the king of carnival. Rex was conceived primarily to celebrate the arrival of the grand duke of Russia, Alexis Alexandrovich Romanov. The dukes mistress and lover at the time, an American actress named Lydia Thompson, sang a song in a burlesque New York show Bluebeard entitled If Ever I Cease To Love You. Coincidentally, this was the dukes favorite song, so all the bands in the Rex parade were asked to play it. This song became, and still remains today, the official song of Mardi Gras. The krewe of Rex also chose the official colors of Mardi Gras in 1872 based on symbolic meaning: purple for justice, green for faith and gold for power.”

—found at worldweb.com. So it must be true!