[jcbrand]

The first vowel tells you from which country it comes.

Grey is UK English, so think "e" for England. Gray is American English, so think "a" for America.

[ghaff]

Somewhat oddly, "grey" has ended up pretty normalized in the US so either works. There are a few other examples; theatre comes to mind. In a way that lots of other British spellings really have not.