It only does in certain circumstances, mainly when it’s stored in water and what you are seeing there is something called Cherenkov radiation. The particles given off by the radioactive waste are travelling faster than the speed of light in the water so generate a characteristic blue coloured light
Some Uranium compounds, often found in radioactive waste have very distinct green/yellow colour which appears to glow (they are fluorescent) this is probably where the rumour came from.
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David commented on :
Some Uranium compounds, often found in radioactive waste have very distinct green/yellow colour which appears to glow (they are fluorescent) this is probably where the rumour came from.