Possibly... I think that Australians spell it with "E" because we got our version of English from the English... Who also spell it with "E". I never could understand why when America was taken over by the british some british spelling words changed... "colour" for instance...
I agree that its usually spelled gray with a last name. It really only matters when you are inconsistent in writing it, or when it comes down to last names. (I was taught gray, but I just spelled it grey instead).
"Why is this spelt with an A?"
And they'd be all
"It's American."
* insert why not both meme*
e for everyone else