This is what I did. I ran @ScruffR code. As he said,
WiFi.on() kept the photon in breathing blue (not cyan). In the firmware it is mentioned as network on, which means the WiFi chip is on I believe.
WiFi.connect() kept the photon in breathing green. This means that the particle is connected to the WiFi network. It got a valid IP address. But it is not connected to particle cloud at this point.
Particle.Connect() kept the photon in breathing cyan. This means that the particle is connected to Particle Cloud, which is indirectly WiFi connected too. But it's not the other way around. The photon might be connected to the WiFI but not to the particle cloud. In this case it will be breathing green.