Puns are synonyms for plays on words, and neither need to be humorous, though the former almost always denotes a joke, it's hard to find a serious use of a play on words due to the fact that the double meaning of the word when used in context.
Your quote is not a play on words because the spelling of the word doesn't change it's meaning. "Gray" is a varient spelling of "Grey" and will have identical meanings no matter which one you use ("Gray" is used for the color by Americans, while British spell it with "Grey" for the same meaning (as an American, I am pretty sure I use the "grey" version all the time, so it's not as hard as similar rules for color/colour. It is only relevant when Gray is used as a name as the noun denotes a specific individual or family. It's improper to refer to him as "Freddie Grey" but both spellings are fine when used as adjective describing "[insert color] skies are going to clear up."
The English Language has a number of words that are spelt differently by different dialects (generally British and American spelling, though Canada has it's own rules for spelling and pronunciation that are hybrids of the two and New Zealand and Austrailian are quite different enough as well). Canadians will use American pronucniations but British spelling (and even then it's not consistent. Americans and Brits say the letters "H" and "Z" differently (Americans: Ayche and Zee, British: Hayche (because there's an effing "H" in it, as one comedian noted) and Zed) and Canadians say "H" like Americans and "Z" like the Brits.
There are some puns that result over the context of British vs. American English that often result from a word having a different meaning depending on the speaker. For example, the American use of Pants is different from the British Use, which refers to a garment Americans call "Underwear" (Trousers are the British term for American's Pants), and that's the one that is the most tame I can think of... most of the other terms are quite offensive for one side but not the other). But again, most words that aren't commenly spelt between the two languages are not puns... rather they hold the same meaning but the letter combination is different.
This isn't inherit to English, as Chinese and Japanese share enough common characters in written format that a person who can read Japanese can pick up a Chinese news papers and generally get the same information as they would if translated to Japanese. However, spoken Chinese is very distinct from Spoken Chinese to a similar degree two languages with a common root. And European Portuguese and Spanish are very distinct from Latin American Spanish and Brazilian Portuguese as well (In the case of Spanish, there are often seperete dubs of foreign language films for American and European Markets due to the differences... and in the Americas, Spanish Speakers can have distinct accents and usage of words that would give away their nationality.).
Other puns will rely on two words having distinct meaning but sounding similar when spoken. For example, a Simpsons episode about Religious Cults used the title "The Joys of Sects" which puns off the popular title "The Joys of Sex" in that the two words have similar sounds but have no common definition (Sect refers to a subset of a wider religion that have different beliefs and practices from each other, while Sex almost always is used to describe things with a reproduction angle). We can also demonstrate a pun using only the different meanings of the word "sex" from a bit from the "Burns and Allens" radio show where Gracie Allens (who follows a logic that does not exist on Earth" is talking with a doctor about intake information for her husband.
Gracie: George Burns
Doctor: Sex? chuckling but I already know what that is.
Gracie: Well you should! You're a doctor!
The gag here is that sex has two meanings: An act of attempting to reproduce, and a clinical term for an individuals biological gender of Male and Female. Given that the scene is of Gracie providing information to her Husband's doctor on an intake form, it's clear through the context that he is asking if someone named "George Burns" was a man or a woman, and then realizing that he should know better given that the woman he's talking two has refered to George (a male name) as "her husband".
Gracie... being Gracie... thinks the doctor is asking her to discuss some aspect related to reproduction in general only to sheepishly admit he didn't need to ask her that, at which point, she correctly (at least to her) expresses surprise that the doctor would have to say he "knows that already" because a medical doctor should have enough of a grasp of the concept of how babies are made to know what sex is... after all, Gracie knows what it is too, and she's not known for being a mental giant.