The Grey is a plane of existence that seperates Athas from the Astral Sea. Few people have been able to penetrate through its near impenetrable.
Athas has different Cosmology than most worlds.
In normal cosmology, lost souls would normally move to the astral sea and then be ferried to the afterlife. On Athas, the Grey is there. A barrier that acts as a dreamcatcher of souls. Those who are trapped in the Grey slowly lose all sense of being and place. Those who dwell there are said to lose their physical body and if asked who they are they reply, "No one." and if asked where they are, "No where."
There is a rumor that a group of powerful mages managed to pierce the Grey only to find death and destruction on the otherside. Whether this is true remains to be seen.
Gith legend states that they were once a great race living on the other side of the Grey that flew on giant astral ships through it. The act of penetrating the Grey caused their ships to crash and stranded them on Athas where they mutated into the creatures they have become today.