A person who poses as one of an "outsider" clique in order to feel belonging or fill a social void. Does not refer to any one clique, covers a large spectrum.
This term is derived from black sheep, whereas that term generally refers to someone who is an individualist, grey sheep applies to someone who is conforming to fit in.
Person A: "Dude, Josh started wearing all black and hasn't talked to me much. Is something wrong with him?"
Person B: "No, look at his fancy new clique. He's just being a grey sheep."