how to store mouse button selections in a list?

Your game runs in a loop, so when the player clicks somewhere, you have to keep track if it in your game state. The game state could be anything from a complex object graph to a simple variable.

You just have to keep in mind that when things happen over time (like the player clicking multiple times), you have to keep track of it somehow.

Here's a simple example I hacked together. You'll get the idea. Note the comments.

import pygame
import random

def main():

    # first, we create a simple list of the possible colors
    # pygame has a big internal list of predefined colors we 
    # can use, like 'blue' or 'lightgrey' etc
    # also note that we can easily extend our game by adding
    # other colors; and we don't have to touch any other code
    # since we use lists and loop over them to draw the game
    # and handle inputs. No big if/else monsters
    colors = ['blue', 'red', 'green', 'yellow', 'white']

    # next, we create a list of rects that represent the part
    # of the screen where the user can click to select a color.
    # the first one is located at (10, 10), and each rect has a 
    # size of (32, 32), with a gab of 10 between them
    # We use pygame's Rect class so we don't have to do the math 
    # ourself
    rects = {}
    x, y = 10, 10
    for color in colors:
        rects[color] = pygame.Rect(x, y, 32, 32)
        x += 32 + 10

    # since your game runs in a loop, we have to store the choices
    # of the player somewhere. We create a list of the colors the 
    # user picked this turn, and list of where we store the picks
    # of previous turns.
    picked = []
    history = []

    # pick the solution the player has to guess
    solution = colors[:]
    random.shuffle(solution)
    solution = solution[:4]
    # let's print the solution so we can cheat :-)
    print(solution)

    pygame.init()
    screen = pygame.display.set_mode((800, 600))
    while True:
        ## EVENT HANDLING
        events = pygame.event.get()
        for e in events:
            if e.type == pygame.QUIT:
                return
            if e.type == pygame.MOUSEBUTTONDOWN:
                # the use clicked somewhere, so here we decide what happens
                # first, check if a color was clicked. Since we have the list
                # of rects, it's quite easy.
                # we make use of the collidepoint function of the Rect class
                # which will return True of the coordinate is inside the Rect
                clicked_list = [color for color in rects if rects[color].collidepoint(e.pos)]
                if clicked_list:
                    # the expression above returned a list, and
                    # the clicked color is the first and only element
                    color = clicked_list[0]
                    # so the user clicked a color button
                    # now add the color to the list of clicked buttons
                    # we don't allow duplicates
                    if not color in picked:
                        picked.append(color)
                    # that's it. We don't need to do anything more
                    # here in this event handling part

        ## DRAWING
        screen.fill((50, 50, 50))
        # draw the buttons
        for color in rects:
            pygame.draw.rect(screen, pygame.Color(color), rects[color])

        # draw the history
        # again, 32 is the size of the buttons, and 10 is the gap between tem
        # feel free to use constants and/or extract a function for drawing
        # instead of using magic numbers.
        x, y = 300, 500 - 32 - 10
        for turn in history:
            for color in turn:
                pygame.draw.rect(screen, pygame.Color(color), (x, y, 32, 32))
                x += 32 + 10
            y -= 32 + 10
            x = 300

        # draw what the player picked
        x, y = 300, 500
        for color in picked:
            pygame.draw.rect(screen, pygame.Color(color), (x, y, 32, 32))
            x += 32 + 10

        pygame.display.flip()

        ## GAME LOGIC
        # check if the player has picked 4 colors
        if len(picked) == 4:
            # check if the player has won
            # this works because picked and solution are 
            # simple lists of strings
            if picked == solution:
                print("WIN!")
                return

            # move the picked colors to the history list
            history.append(picked)
            picked = []

if __name__ == '__main__':
    main()