The Grey Lady, 1888, photograph scanned from catalog of the work of John Everett Millais and published on Wikipedia. The painting is in a private collection.
Millais, British, 1829-1896, could have been referring to many legends and ghost stories featuring a grey lady and hauntings. One of these is at Rufford Old Hall in Rufford, Lancashire, England, where a grey lady, Queen Elizabeth I and a man in Elizabethan clothing reportedly have been seen.