Yes, Grays do exist. However, thanks to the overlords and their confusion-breeding, disinformation, our knowledge and understanding of this fellow alien species has been totally derailed.
Little humanoids with big heads and large, slanted monochrome eyes? Tooling around in the upper atmosphere in flying saucers with pretty lights on them? Uh, ... No.
Once again, reality is VERY far from what we've been lead to believe is the truth...
Grays do have a more common name. Most people call them elephants.
As some mild but nifty support, note our parallel hairy to hairless transformation and our Africa/Mid/Far East historical focus.
So, yeah. Elephants, like us, have off-world origins. There's a strong likelihood that elephants were mixed in with a similar, Earth-native species - our origins are likely along those lines as well.