In this work we introduce a new type of urn model with infinite but countable many colors indexed by an appropriate infinite set. We mainly consider the indexing set of colors to be the $d$-dimensional integer lattice and consider balanced replacement schemes associated with bounded increment random walks on it. We prove central and local limit theorems for the random color of the $n$-th selected ball and show that irrespective of the null recurrent or transient behavior of the underlying random walks, the asymptotic distribution is Gaussian after appropriate centering and scaling. We show that the order of any non-zero centering is always ${\mathcal O}\left(\log n\right)$ and the scaling is ${\mathcal O}\left(\sqrt{\log n}\right)$. The work also provides similar results for urn models with infinitely many colors indexed by more general lattices in ${\mathbb R}^d$. We introduce a novel technique of representing the random color of the $n$-th selected ball as a suitably sampled point on the path of the underlying random walk. This helps us to derive the central and local limit theorems.