Either spelling is acceptable when you're talking about the color, but only one spelling is correct when you're talking about the loser governor of California.
I didn't make myself clear. Either spelling is acceptable, but most Americans use "gray", just as they use "color" instead of "colour."
Since the spelling of Gray Davis's name is the same as the color, most Americans would not misspell it in this manner. Therefore, Barbra's column was ghost-written by a Brit.
Or, Barbra is too pretentious and stupid to know she made this error.