There was also a daughter Ann, birthdate unknown
England Deaths and Burials
Bishopwearmouth Durham
Ann GRAY of Bishopwearmouth buried 12th Sept 1801
Father = Robert GRAY
Mother = Jane MASON GRAY
Snap Claire 
Not impossible that this is the same Ann given that the two locations are not that far apart...
England Births and Christenings
Chester Le Street Durham
Ann GRAY daughter of Robert and Jane GRAY baptised 27th May 1796
Karenlee