The girls have Violet and Scarlet and Ruby and Rose, but for the boys there's a much more limited palette of color names. Grey/Gray is one exception, which could make for a soft and evocative—if slightly somber—choice, especially in the middle. Kaitlin Olson and Rob McElhenney named their son Leo Grey.
A common surname, Grey/Gray is still an unusual first name choice (it entered the Top 1000 for the first time in 2013), while longer forms Grayson and Greyson are climbing rapidly, with Grayson at Number 47 and his twin at 111.
The best known bearer of the name, former Governor Gray Davis of California, was born Joseph Graham Davis, Jr, and others with Grey/Gray names include Graydon Carter, editor of Vanity Fair, and Grayer, the child in The Nanny Diaries.
It's worth noting the connection to Christian Grey, of E. L. James's Fifty Shades of Grey. Do with that what you will.