I'd first tell people what collection of Azek decking you're going with so they can see the available colors HERE.

It would also be very helpful if you add a photo of your house, since there are many shades of gray.

I have a white house with gray trim, and I chose driftwood (beige) decking with espresso rails. I did a lower deck in a redwood color that will fade to pink, again with an espresso pergola. It works. There are actually common hues through all 3 decking materials. I have a taupe sectional on the deck which works perfectly, and I can decorate it with colorful cushions, pillows and throws if I like. Not to mention planters and flowers that can repeat whatever colors I feel like looking at that year.

So I think you can go with any color that you like, as long as it doesn't clash with the grey paint. I chose a warm gray paint trim that works fine with the beige.

You will probably be looking at the color of your decking through your patio doors much more than you will be looking at the color of your house, so I would start with your favorite color/pattern/texture of decking and then look at other options to compare. When in doubt, go with something that is easier on the eyes. But if you have a favorite, you may be able to make it work.

Another option is to echo the gray house paint in the rails and choose something else for the decking, as long as it all blends together. You could think about gray metal railings or accents too.