"had a son on 21 January 1896" -- was that your father?If so, what was your father's name?
"we think a Mr Peterson to whom she had a daughter and a son" -- Do you have a name for the daughter or son?
"Grace remarried and moved to Galverston, Texas"Do you have any idea when they moved to Galveston?And, did they go directly to Galveston?If so, there are some passenger records for those entering the U.S. through the port of Galveston.
There are several researchers who browse this forum and will offer help, but with names as common as Gray and Peterson, a little extra is needed. I think one of them currently lives in Canada, so if you have anything on that first wife you might include that, too.