GRAY is one of the rendering shortcut settings predefined in TWikiPreferences. See the section rendering shortcut settings in that topic for a complete list of colors.
%GRAY% gray text %ENDCOLOR%
%<color>% text must end with %ENDCOLOR%. If you want to switch from one color to another one you first need to end the active color with %ENDCOLOR%, e.g. write %RED% some text %ENDCOLOR% %GREEN% more text %ENDCOLOR%.