g = sns.PairGrid(iris, hue='species', hue_kws={'cmap': ['Blues', 'Greens',
    'Reds']})
g = g.map_diag(sns.kdeplot, lw=3)
g = g.map_offdiag(sns.kdeplot, lw=1)
Seaborn pairplot off-diagonal KDE with two classes