Ka cika wannan magana: Mahaifiyarsa ta kasance mai rawa a wasan kwaikwayo na Broadway wanda ya koma Turai bayan ya auri mahaifinsa; sun gudu daga Nazis a yakin duniya na biyu kuma suka koma Amurka. Mahaifinsa kuma mawaƙa ne, yana kunna cello a cikin ƙungiyar mawaƙa a waje da Chicago a lokacin hutu (yayin aiki a matsayin masanin kimiyya), kuma 'yar'uwarsa ta kasance pianist na gargajiya. Wakilin farko na Graae ya bukace shi da ya canza sunansa zuwa "Grey" amma ya ƙi, yana son girmama mahaifinsa Danish. Ya bayyana Victor Borge, wanda ya zo Amurka a kan wannan jirgin ruwa kamar yadda mahaifinsa kamar yadda biyu gudu 1940
mamayewa na Denmark, a matsayin babban wahayi. A shekara ta 2007, mahaifiyarsa ta ƙaura daga Tulsa zuwa Los Angeles don zama tare da Graae da abokin aikinsa. A cikin wata hira da ya ce "rai ya gaske upheaved kamar yadda na san shi... Muna tunanin fara wani sabon wasan kwaikwayo mai suna 'Gays Biyu, Wani Kare da Tsohuwar Mata.'" Graae ya fito ga mahaifiyarsa a 1983, kwarewar da aka tuna a cikin aikinsa na biyu "The Prince and the Showboy" tare da Faith Prince.