No, the lube is gone before the cases go in the loading machine, and it's removed by some process that involves water washing, as I've found water marks on bulk brass before. A lot of commercial forming lubes are water base now.
Also, take a look at military brass. Notice how even the unannealed part under the shoulder isn't a bright yellow? That's because Frankford arsenal did an experiment between the WW's in which they left variously processed cases on the roof of their building to see what would happen to it outdoors. That part of Philadelphia at the time included a lot of industry and some chemical plants and this was before the EPA and other restrictions, so the atmosphere was relatively corrosive. What they found was cleaned and polished brass was corroded through relatively quickly when exposed to the elements in that location, but that brass that had the oxides left on it from the forming processes (which includes several full annealings prior to the final forming steps) survived a year without appreciable corrosion. So, in addition to requiring the neck annealing stain to be left on the cases, the military also required than none of the oxides be polished or cleaned off the cases so as to increase its stockpile life. That's why the color is what it is.