There is *no proof* that he is connected with the Croy family of Picardy, and at least some reason to think he wasn't. He is of the Conquest generation, and William of Normandy did not have all that many Picards in his armies.
Cawley (Medieval Lands) just ducks the whole issue.
Wikipedia thinks he came from Graye-sur-mer, on the Norman coast, and that he may have been the son of one Hugh fitz Turgis (another Domesday landholder). (On the other hand, the article on Graye-sur-mer thinks the place got its name from *him*. That's Wikipedia for you.)
> according to this webpage. the anchitel de grey/croy line is mythology.
http://www.kettlenet.co.uk/kettle/viking/katilaz.htm
ANCHETIL DE GRAI. From Grai between Bayeux and Caen. M. de Ste-Marie in
Recherches sur le Domesday states that this Anchetil belonged to a family of
considerable importance in the Bessin, who were sires of Luc and Grai. In
1082 Gisla, daughter of Turstin de Grai, made a donation to Holy Trinity at
Caen, which convent she entered. He was the son of Hugh, brother of another
Turstin de Grai who remained in Normandy, both sons of Turgis. Anchetil came
to England with the Conqueror and held lands in Oxford, 1086 (Domesday), viz.
Redrefield (Rotherfield) and five other lordships from William Fitz Osberne
(Domesday). Columbanus de Gray, his son, witnessed a charter of Raoul de
Limesay, temp. Henry I, whose sons Robert and Roger held extensive lands in
1165 as recorded in the Liber Niger. Hence the lords of Grey, earls of Kent
and Stamford, marquesses of Dorset, dukes of Suffolk and the Greys, earles of
Tancarville. The Greys were also the ancestors of lady Jane Grey. The claimed
Grey descent from Arlette's father said to have held the castle of Croy in
Picardy is incorrect.
Rech. Domesd., 163-70. Nor. Peo., 270. Cle., II, 87.
Gall. Christ., XI, Instr. 71. Mon., i, 331.