Stuart, I understand Thomas Gray, who came to US and was in Revolutionary War, was the grandson of the 11th Lord Gray of Scotland. He qwas born in Scotland in 1751 to Hames Gray and Margaret Calder. After looking at my iinfo on the Lord Gray ancestory you might try looking at John Gray, 15th Lord Gray 1798-1857 or Margaret Gray, 16th Lady Gray, 1799-18689, or Margaret Murray, 17th Lady Gray, 1921-1878. I am going to Savannah, GA in October and hope to find more information as that is where he was reported to be married and I have traced him across Ga to Mississippi where he is reported to have died. As for locations in Scotland you might look for Kirkintilloch and Aberdeen.
Hope this is helpful. Good hunting. Sincerely, Anita Gray