A little bit of research via Dr. Google tells me that "gray" is primarily used in the US and that "grey" is primarily used in the UK.
From some discussion boards, I read that The Associated Press Style Book wants "gray". So for US editors, "grey" is probably going to look funny. The New York Times is ""The Gray Lady", right?
In A Circle of Quiet, Madeleine L'Engle wrote:
When A Wrinkle in Time went into galleys, the copy editor -- I'm glad I haven't the faintest idea who it was -- had him/herself a ball. First of all, I do spell the English way; I was in an English boarding school when I was twelve, thirteen, and fourteen, and these are the years when spelling gets set. After I had been made to write h-o-n-o-u-r, for instance, a hundred times on a blackboard several hundred times, it was almost impossible for me to spell it h-o-n-o-r. The English use t-o-w-a-r-d-s and we use t-o-w-a-r-d. I like to use them both, depending on the rhythm of the sentence and the letter which begins the following word; sometimes the s is needed; sometimes not: this is, I realize, rather erratic, and I can't blame the copy editor who tries to talk me out of it. Then there's grey, which is English, and one very definite, bird-wing, ocean-wave color to me; and gray, which is American, and a flatter, more metallic color. Then there are the c and s words, such as practice or practise. Abour words like these I'm simply in a state of confusion, rather than aesthetic persuasion, as with grey or towards, and the copy editor can have his way. On the whole I tell the copy editor to go ahead and make the spelling American, but don't muck around with the punctuation.I suppose I'll mostly strive for consistency in fiction, and go with sound in poetry. As I write that sentence, I realize that grey 'sounds' different in my head than 'gray'. Hm. Perhaps I need to think about this some more.