No, he spelt grey correctly.
Grey = English
Gray = American
Saying he spelt Grey incorrectly is like saying colour shouldn't have a u.
For more info...
http://answers.google.com/answers/threadview?id=235359Oh, and it should be 'spelt' not 'spelled'.
And take the hat off, but be sure you're not being pursued by guards, because if you are... well, they just chase you still, no matter what. Until you lose them, that is. You can't bribe them, and the Grey Fox bounty can't be paid off either.