No, glofish aren't naturally occuring, and they aren't dyed (thankfully!), they are genetically modified.
From the Glofish website:
Where does the fluorescent color come from?The fluorescence in our fish is produced by a fluorescent protein gene, which creates the beautifully colored fluorescent protein that can be seen when looking at the fish. The fluorescent protein genes are naturally occurring genes which are derived from marine organisms.
So basically they took a gene from a marine animal and put it in the zebra danio to make it brightly-colored.
Also:
Do you have to add a fluorescence gene to every fish before it hatches? No. Today's GloFish® fluorescent fish are bred from the offspring of fluorescent zebra fish that were originally developed several years ago. Each new GloFish® fluorescent fish inherits its unique color directly from its parents, maintains the color throughout its life, and also passes the color along to its offspring.
One note- Glofish are illegal in California.... Due to a "ban on biotech aquatic organisms".
Here's a link to the website if you want to know more:
Glofish Welcome