This is about the struggle to get out and survive. You're almost out of the white, but still in the black - mixed together they make gray.
This was one of the songs from the "Lillywhite Sessions," an album Matthews recorded with producer Steve Lillywhite in 2000, but decided not to release. The songs were leaked on the Internet and widely circulated. In 2002, after putting out the album Everyday, which was produced by Glen Ballard, Matthews released most of the Lillywhite songs on Busted Stuff.
The color is spelled "Gray." It is likely that this is about Julia Grey, Matthews' old girlfriend who followed him to the US from South Africa. She also inspired Matthew's songs "I'll back you up", "Halloween" and possibly "Recently." You can think of this song as the third installment after "I'll back you up" and "Halloween." He's in love with a girl, proposes to her ("I'll back you up"), she turns him down every time he proposes, he gets mad ("Halloween"), but still tries to keep her ("Grey Street").