It's been a little while since I last posted ... mainly because I haven't had many very productive searches lately. Same old story ... dig, dig, dig, ooohhhh, splat. I haven't given up, just making sure I thoroughly research every branch of every tree as much as can be found so I don't end up on a wild goose chase.
Up until not so long ago people were still having huge families with as many as 12 children or more. Granted, not all of them survived to adulthood, but many did. Then they had a bazillion kids, who then had their own bazillion kids, etc etc etc. I expect that's where I'll find Capt Jesse ... hidden among the branches of some obscurely convoluted family tree.
I haven't found much more on Robert Gray, and I've read almost all I can find on the Grays of the Carolinas. The fact that I haven't found him is evidence that I obviously haven't read EVERYTHING, so until I do I'll keep on digging.