Grey is in the northeast area of the Lands of Lord British, on the other side of a massive mountain range. It isn't convenient to walk to, and its Weapon and ArmourShops are heavily guarded. You can StealFood with relative ease, but there are more accessible cities to do that.
Grey is a tiny towne, notable for its guild Shop. You can also find Weapons and Armour here, but nothing you can't find elsewhere. You won't learn much of any use here, though.