There are far more compound words with gray, from graybeard to grayfish (as opposed to crayfish), to gray wolf. I'm sure that means something. Both gray and grey seem to come from Old English. Does the OED differentiate them further back - from different languages? Now I'm curious.
I'll see yer grayfish and raise you a great grey shrike (http://www.rspb.org.uk/wildlife/birdguide/name/g/greatgreyshrike/index.aspx) (there's a lesser grey shrike too, but the RSPB doesn't have an entry for it), a grey heron (http://www.rspb.org.uk/wildlife/birdguide/name/g/greyheron/index.aspx), a grey partridge (http://www.rspb.org.uk/wildlife/birdguide/name/g/greypartridge/index.aspx), a grey phalarope (http://www.rspb.org.uk/wildlife/birdguide/name/g/greyphalarope/index.aspx), a grey plover (http://www.rspb.org.uk/wildlife/birdguide/name/g/greyplover/index.aspx) and a grey wagtail (http://www.rspb.org.uk/wildlife/birdguide/name/g/greywagtail/index.aspx). Then I'll annoy you even more by mentioning the greylag goose (http://www.rspb.org.uk/wildlife/birdguide/name/g/greylaggoose/index.aspx). :P
Obnoxiousness aside, i would use "greybeard" rather than "graybeard". Not sure if that's a personal choice or a reflection of the greater use of "grey" over here, and the greater use of "gray" over there...
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