The Ballad of the Grays is a song about alien abductions that played on Coast to Coast AM, Art Bell's paranormal late-night radio show, in 1998. The song is by the Dana Ray Band, who specialized in parody music. I can't say I disagree with the lyrics:
Please Lord if I'm abducted, don't let it be the Grays, the short little guys with the big black eyes from a galaxy far away;
I've heard the horror stories, being taken in the dead of night,
laid out on a table like a Christmas turkey, I'm afraid I'd die from fright.