"Grey alien (Most Haunted)" is a title based upon conjecture.
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A grey alien came to Earth in the 20th century. After arriving near Harcourt Manor, the native humans drove it into the manor and entombed it within the chimney stack. The alien survived by going into suspended animation, where its unconscious mind continued to seek help. This mind took the form of a ghostly creature, leading to rumours that the manor was haunted.
- You may be looking for Gray alien.
It was some hundred years before two children, Kerri and Joe, explored the manor. They were joined by the Eleventh Doctor and Amy Pond. The alien was discovered, freed, revived with tea and returned home in the TARDIS. (COMIC: Most Haunted)