Try using polygon() or grid.polygon() from the grid package.
You can find code example on the R project title page.
Go to http://r-project.org and click on the plot (the example plot showing
PCA, clustering and factors, lower left are two graphs, similar to what you
want).
This will bring you to the source code, generating this plot.
Search for "Factor 1" on the page will show that this plot was produced with
the function plotdens().
Search for "plotdens" will show its body and will discover, that it calls
polygon() function.
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