Gray is a city in Audubon County, Iowa, United States, along the East Branch of the West Nishnabotna River. The population was 61 at the …Gray is a city in Audubon County, Iowa, United States, along the East Branch of the West Nishnabotna River. The population was 61 at the time of the 2020 census. Gray was laid out in 1881 by George Gray, and named for him. The Northwestern railroad was extended to the town in 1882.