In the USA we use Grey, as in Blue and Grey.
The heathen barbaians in the UK spell it Gray.

(I won't pick on the Canadians because we visited Quebec and loved it. Our daughter then went way east, near Newfoundland and went kayaking and saw Minke Whales. I'd love to go back.)
I find it interesting that residents of Europe are as interested in the American Civil War as they appear to be (to me at least). To me a big part of the interest is the politics, what lead up to it, and it's impact. If I was a European I assume I'd be far more interested in Napoleon