I have never heard of the use of "Monticello Grays" in connection with the 11th MO Infantry Regiment, but there was a company by that name (Co B, 1st Cav Regt)in the Second Division, Missouri State Guard. It was organized in Lewis County, MO, in 1861 and was commanded by Captain W. S. Richardson. If your ancestor was from that area he may have served in that company prior to joining the Confederate service.