I would honestly call it "Grey". It sounds nice to me, and it reflects the fact that it's an African Grey Parrot, and if you want to teach it a name, you'd probably be better off using a simple one word name. Parrot's and most birds are relatively intelligent animals, and they can learn a word/name associated to them, but it's best to keep it simple. And really, would you ever feel bad about saying "Hey Grey" and having your parrot respond? My two cents. If I was pressed about it, I might call it Gary. With a bird that can mimic human sounds, you don't want to name it something that it would have a hard time mimicking, just a simple one or two syllable word. And that's the difference I see with naming a bird versus naming a dog or cat. A bird, especially a parrot will learn it's name. Do you want it saying "fagballs" everytime you enter the room, or do you want it saying "grey" or "gary". Not that those are the best name, but your parrot will most likely say the name you give it.
But yeah, I'm not a huge fan of birds, but I respect them as animals. And the African Grey is a beautiful bird. And some species of birds have the amazing ability to recreate human sounds, so they impress me. I just don't like when I wake up and go to work in the morning and I have three giant turkey shits on my windshield.