Webster's New Encyclopedic Dictionary, 1996 edition, lists "Gray" as a "Common English Given Name"; "Grey" is not listed.
In the section on "Biographical, Biblical and Mythological Names" I find Thomas Gray (1716-71), an English Poet; or Zane Grey (1875-1939), an American author, next to Lady Jane Grey (1537-54), who was an English noblewoman beheaded as a possible rival for the throne (at less than 18 years of age, too!).
Neither Calastigro nor Cagliostro are listed in Webster's, but google says you are the former and the latter was an adventurer and self-styled magician of the 18th century. :-)
mendel (not Gregor, but a short form of Mendelsohn, which is not directly related to Mendelssohn-Bartholdy).