Preheat the oven to 350 degrees F and grease a 9×13 inches baking dish with baking spray and set aside.
Prepare cake mix according to box directions.
Divide the cake batter into 5 equal portions. Add a few drops of food coloring gel to each bowl, and leave one plain. Stir well until combined.
Use a spoon to drop spoonfuls of each cake batter color onto the bottom of the baking dish. Drop one color at a time, leaving a few inches apart between the colors, then repeat with remaining batters until the pan is covered. Make another layer until you've used all the cake batter.
Gently tap the baking dish a few times to even out the batter.
Bake according to box instructions.
Let the cake cool for about 10 minutes, then poke holes over the top with the end of a wooden spoon, about 1 inch apart. Let the cake cool completely.
When the cake is cooled, make the pudding by adding pudding mix and milk in a large bowl. Whisk together until combined. Pour the pudding all over the cake and into the holes as much as you can. Place the cake in the refrigerator to set completely for 30 minutes- 1 hour or until pudding has set.
In the meantime, make the whipped cream with an electric mixer by combining the heavy cream and vanilla extract in a bowl. Beat together until soft peaks form, then add powdered sugar and beat until stiff peaks form and have thickened, this will take several minutes.
Spread whipped cream over the entire cake to cover the surface. Top with Easter sprinkles, Peeps, and then slice and enjoy!