True, it wouldn't come down to a single chemical (presuming it actually has a feedback influence) but more of an expression of several systems working together. It is an interesting thought to toy with now that you mentioned it. I mean melanin is in more than just the iris, hair and skin. There are high levels of melanin inside the locus coeruleus of the brain stem as well as the basal ganglia (substantia nigra) and in the dopaminergic neurons among other places. I don't know how, but if a pigment like melanin can somehow influence dopamine synthesis for example, then there might be something to this, since dopamine has an influence on learning.
If, and that's a big if, melanin has an effect on any metabolic/uptake pathways, it's most likely be the result of the actions of neuromelanin, which unless I am mistaken has little to do with expression of hair, eye or skin colour. Which would mean again, that hair, eye and skin colour is irrelevant to intelligence.
Damn this would be fascinating research!. I can see a Nobel prize already..