I've always used an "E" to spell grey. I don't worry about the spell check, I added it to the custom dictionary. There are a lot of words that have multiple spellings like that. I still use "tire" and "curb" though ;)
It's not that I don't like America, or Americans,
but I prefer to speak English as she is writ.
therefore in my world, grey is preferable to gray.
likewise tyre and not tire, and all the words that my spellchecker tells me are wrong, because I use an S, not a Z,