I found this entry in the Social Security Death index which could be your Rev Grey: James Grey SSN:433-56-8884 Last Residence:70125New Orleans, Orleans, Louisiana, United States of America Born:18 Dec 1906 Died:Jul 1985 State (Year) SSN issued:Louisiana (1955 )
There's also a listing for a Lillian Grey who also died in New Orleans in 1985: Lillian Grey SSN:433-72-5872 Last Residence:70125New Orleans, Orleans, Louisiana, United States of America Born:19 Jan 1906 Died:Feb 1985 State (Year) SSN issued:Louisiana (1963 )
You can order these Social Security Applications, which the subjects filled out themselves, and which should list the names of their parents.
You might also check with the New Orleans Times-Picayune and see if they have their 1985 obituaries archived.Rev. Grey was such a distinguished person that he would likely have a big obit, which could be bad, because those tend not to focus on the person's heritage, but their own deeds.
If you are a direct relative, you should order his death certificate from the state.This will list the names of his parents to the best knowledge of the informant.
I did find the couple in the 1930 census, which confirms the birth date for Lillian from the SSDI above: 1930 United States Federal Census > Texas > Tarrant > Fort Worth > District 86 > Page 12A J.D. Grey, roomer, male, white, 23, married, age 20 at first marriage, reads, writes, he and parents b KY, clergyman at baptist church Lillian Cooke Grey, wife, white, 23, married, age 20 at first marriage, reads, writes, she and parents b KY