What are names of Grey Thoroughbred horses?

If you mean race horses, a famous one is Manarchos. He was the second fastest Kentucky winner in history.
Actually, its Monarchos; he had a time of 1:59.97. The speed record for the Derby was set in 1973 by Secretariat with a time of 1:59.40. Other famous grey horses include:

• Lady's Secret [Secretariat's best foal; she won the 1986 Breeders Cup Distaff and is the 1986 Horse of the Year.]
• Spectacular Bid [1979 Kentucky Derby and Preakness Stakes winner, American Champion 2-Year-Old Colt (1978), American Champion 3-Year-Old Male Horse (1979), American Champion Older Male Horse (1980), American Horse of the Year (1980)]
• Unbridled's Song [1995 Breeders Cup Juvenile, Successful sire; 2010 fee is $100,000 live foal, Sired Eight Belles (filly who came 2nd to Big Brown in 2008 Kentucky Derby before collapsing immediately after crossing the wire due to broken front ankles, while being slowed after the race; this resulted in immediate euthanasia.]
• Silver Charm [Kentucky Derby (1997), Preakness Stakes (1997)]
• Alphabet Soup [Winner of Breeders' Cup Classic (1996)]
• Holy Bull [U.S. Champion 3-Yr-Old Colt (1994), U.S. Horse of the Year (1994)]
• Giacomo [2005 Kentucky Derby Winner]
• Stardom Bound [Filly; Breeders' Cup Juvenile Fillies (2008), American Champion Two-Year-Old Filly (2008)]
• Winning Colors [1980 Kentucky Derby Winner -- one of 3 fillies to have win the Derby]
• Hula Dancer [filly; winner of the 1,000 Guineas (1963), Prix de la Salamandre (1963)]
• Desert Orchid [Steeplechaser; 4X Winner of the King George VI Chase (1986, 1988, 1989, 1990), Cheltenham Gold Cup (1989), Victor Chandler Handicap Chase (1989), Timeform Rating: 187,
• Skip Away [U.S. Champion 3-Yr-Old Colt (1996), U.S. Champion Older Male Horse (1997 & 1998), United States Horse of the Year (1998)]

There are a ton of famous Thoroughbreds -- not that many greys though. Thoroughbreds tend to be mostly bay with chestnut being the second common colour. This list of Thoroughbreds was just a brief list; there are a lot more famous grey Thoroughbreds out there.