What you have there is the index pointing to a marriage record in the Edinburgh St Cuthbert's parish register. You can, and should plan to, view the original, which is available online at
www.scotlandspeople.gov.uk at modest cost.
However it won't tell you the name of James' father; if it did, this would also be in the index entry.
The only sure way is if James died in Scotland after 1855, because in that case his father's name should be on his death certificate. When you are looking for a death of a husband with a common name, it is often useful to go for his wife's death first, because that is indexed under both her maiden name and her married name. The index at Scotland's People lists two deaths of Christi* Gray or Fraser between 1855 and 1899, but neither is in Midlothian.
I see that James and Christina had at least four children, all baptised in St Cuthbert's
Jane Macgregor, born 23 May 1823
James Lloyd, born 15 August 1825
Louisa Mary, born 18 November 1827
Robina Gray, born 30 April 1836
It's possible that the baptism records might contain some clues, such as the names of witnesses.