Materials are assigned at the face/polygon level. The screwed edges in your question have initially no materials. So I think you should extrude/scale down the initial half circle. Assign materials to the wanted parts and use the screw.
Something like that:
Though, geometry will be non manifold and this will be visible.
To correct that, you can use a mask modifier:
Do exactly as previously but do not scale down after extruding, just stay in place. Now with these newly selected vertices create a vertex group.
Color the faces, as before (even if faces are not visible).
Then add a mask modifier after the screw, using the created vertex group:
