Nocturnal, oceanic, subterranean, brown-dwarf planetoid where infra-red vision would be the standard, artificial environment of long standing (okay, we're all thinking 'space ships') are plausible labels.
Now, since the Gray Alien is a bipedal (as are hominids), why is it so spindly? How and why would a lifeform, under what conditions, develop the form we are familiar with? ...
A. the grey head seems far too large for its neck to support.
B. the grey is short legged but proportionally so for its size, yet the arms are disturbingly long, as are its hands and fingers.
C. the thumb, sitting as it does in relation to the fingers, may indicate greater dexterity than found in Earthly bipeds.
D. Nails and teeth, common biological tools for attaining sustenance, are not visible or are greatly retarded. [and this brings to mind what those close encounter experiencers who have allegedly produced 'hybrid' offspring have been told regarding such offspring - "you cannot feed her/him"]