The distinction between British grey and U.S. gray developed 20c. Gray as figurative for "Southern troops in the U.S. Civil War" is first recorded 1863, in reference to their uniform color.
From Online Etymology Dictionary, © 2001 Douglas Harper.
I would just spell it according to the region you went to school in. If you learned British English, you write grey, if American English, you write gray... unless it's a person's name, then it's however they spell it.
It's the same line of thinking of colour vs color, or theatre vs theater.
But I am not British, so the rule doesn't apply to me.
It depends on the system of English that you learned, not your nationality. For example, if you are from India, a former British colony, you probably would have learned British English.
Of course you could just disregard all of that and spell gray, color, theater, etc however you want. However if you are American, people would probably question your choice of spelling, especially in a work or school environment.
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