You are correct in those particulars. No biography of Gray has ever been written. There is a short sketch of his life and military career by yours truly in Volume 3 of William C. Davis, "The Confederate General," 6 volumes (National Historical Society, 1991). A shorter bio appears in Ezra J. Warner, "Generals in Gray" (Baton Rouge: LSU Press, 1959). These books can be found in most, if not all, large libraries. They can also be borrowed through your local interlibrary loan office.