From the Great Frater Sar Kaotec:
An important message about how stupid some of this other stuff is and
probably why it's such a problem:
I think there can be no doubt that the modern image of the Gray is a
media invention as many researchers have demonstrated.
While there's elemental archetypes that predate these Gray forms in
some way, notably the Egyptian God Min, who in one form appears as
large headed midget (though he has an obvious difference too as this
image shows)
www.from-egypt-with-love.com/egyptian-god-min.htm
This form is believed to be derived from the Phoenician water
elementals who were carved like this on the bows of ships, some say
derived from an ancient tribal race, due to ritual head binding in a
pigmy population (there is a Romany Gypsy version too, which I've
personally encountered, with a more bulbous head and beady eyes,
probably derived from a fusion of these entities and the Dwarves}.
These forms are historically very rare though.