Grey market is any product not intended for sale in the country/region of delivery. In the USA, any Nikon product not labeled Nikon USA (intended for sale outside the US but sold to a customer in the USA) would be considered Grey Market.
As grey market product, Nikon USA would not provide warranty, or service for the item. From what I understand, Nikon Authorized service centers would also decline to service the product. The only option for service or repair would be through an independent service center or the place of sale. In addition, if an item intended for purchase in a particular region is sold by an unauthorized seller, it is also considered grey market.
Another way of putting it, grey market is any legal sale of a product outside the sales/distribution channels intended and/or authorized by the manufacturer or importer of the product.
That's the way I understand it.
WM