Though Tolkien doesn't state this explicitly, 'grey' here clearly has a secondary meaning related to 'twilight'. With the unique exception of Thingol himself, the Grey-elves are technically Dark Elves, Moriquendi, but they are also Eldar of the Great Journey who almost came to the Blessed Realm, and who spent millennia with a Maia as their Queen. Of all the Elven kinds who remained in Middle-earth, the Grey-elves were the highest: it was partly for this reason that they are normally called 'Elves of the Twilight' rather than 'Dark Elves'.