Grey King

The Grey King is an unseen character in Game of Thrones. He is deceased when the series begins and only appears in "The Complete Guide to Westeros: The Age of Heroes" featurette. The Grey King is a legendary King of the Iron Islands. He slew Nagga, the first sea dragon. House Greyjoy of Pyke claims descent from him. Legend has it that the Grey King also took a mermaid as his wife.

In the books
The Grey King is said to have ruled for a thousand years.

Author George R.R. Martin is from the United States of America, and thus the A Song of Ice and Fire novels use American English spelling standards. However, while "gray" is more common in American English, this is more of a guideline than a rule, and the British English "grey" while uncommon is still considered acceptable. Further, compounds like "greyhound" use the British spelling. Whatever the case, "Greyjoy" and "Grey King" use the less common "grey" spelling.