Thank you Bryan. I have found nothing of his joining with confederate navy nor of being on assignment.
One story was he was on way home, which may be true (?).

There is no doubt in my mind, after studying this family, but that he was sincere about joining the navy. July 7th entry in Virginia's diary speaks of a letter from "Mr Dedman" (Robert A Dedman) telling Gray was about to resign and join the navy which took Virginia by surprise for she was unaware that the Confederacy had a navy.

It sure took Gray a long time to travel from Sandtown (Atlanta) to Mississippi river, 19th Aug to 16th Nov. I assume he took his mount with him.