Is there no way to add another palette?
This depends on what you mean.
The NES can only have 8 4-color palettes loaded at once. 4 of these are used for the BG (the map), and the other 4 are used for the sprites (objects moving on the map -- like townspeople, etc).
After briefly looking at DW... it appears that all 4 sprite palettes are used by townspeople. Open up FCEUXD ingame and look at the PPU viewer to see the palettes. (Top row is BG, bottom row is sprites)
Sprite palettes and who use them:
Pink, white, blue = used by the hero and other townspeople
pink, orange, green = used by some shopkeepers (guy in the bottom-left corner of the 1st floor of castle)
pink, white, grey = used by castle guards
pink, white, maroon = used by the king, and by some guards in towns.
So if you're looking to use a 5th palette to use alongside those 4... then no, there is absolutely no way to do that. The 4 palette thing is a limitation of the NES -- nothing you can do to the ROM can bypass it. (though it'd be possible to change the palettes for each map, so that different maps have different sprite palettes like in Final Fantasy... however this would probably require writing additional drawing routines and isn't really a beginner project -- I'm simply mentioning it for completeness)
What you could do, if you want, is change it so that townspeople only use 3 of the 4 palettes... leaving the first blue palette for the hero's sole use. This could be done by finding the townspeople data in the ROM -- there's probably a value assigned to each of them (0-3) that picks which of those four palettes they use. You may be able to find this data by corrupting.