Replacing GFCI and found two hot wires
I think I know what happened.

First, having red and gray for a second circuit is perfectly reasonable, I do it all the time in conduit.  

Anyway.  I suspect the original circuit wiring had a plain duplex receptacle with both tabs broken off.  One socket was served by red and gray.  The other socket was served by black and white.  Why? Because he had 2 large loads he wanted to power -- table saw and dust collector, for instance.  But for whatever reason he wanted to git-r-dun on one duplex receptacle instead of two.

Mind you, in such a case, Code requires that the two circuits be on common maintenance shutoff, because both circuits are on the same yoke (i.e. Receptacle body). It is not required for them to have common trip, or be on opposite poles, but you'll get both as side-effects.

When he was selling the house, the home inspector did a walk-through and red flagged the lack of GFCI in that location.  He went to Home Depot, bought a $16 GFCI+receptacle combo device, noted the 4 screws on the receptacle, noted the 4 screws on the GFCI, and did the obvious.  Didn't work, he couldn't figure out what was wrong, and he just wanted to sell the house... so he gave up.  Inspector walked through, saw GFCI, approved. 

Now if you don't care about GFCI, go back to the original plan.  

If you don't care about the original plan, cap off the black &amp; white and use the red &amp; gray (or vice versa), attaching only to the LINE terminals and leaving the warning tape on the LOAD terminals. 

If you do want the full use of both circuits, then: 


if surface mounted, swap that box for a 2-gang deep (2-1/8") 4" or better a 4-11/16" square large box with appropriate 2-gang cover plate. 
if flush mounted, get a Surface Conduit Starter Kit, and go off wherever you please (it can be 1 inch) and fit a surface box.  Extend the white/black to the surface box. 
Alternately, use a plain 1-gang extension, a 1" or so nipple to a 4" or 4-11/16" square box. 


Then you mount two GFCIs, using only the LINE terminals.  Red/gray to one, black/white to the other.