Well, I had a similar challenge. Using the inspect element tool in Firefox, I was able to trace the markup and the CSS used to style the link when clicked. On click, the list item (li) is given a class of .open and it's the anchor tag in the class that is formatted with the grey color background.
To fix this, just add this to your stylesheet.
.nav .open > a
{
background:#759ad6;
// Put in styling
}