It wasn't to be however as a another former West Brom striker, Danni Dichio bagged the winner for The Lions 18 minutes from time.
"After we scored the penalty, I honestly thought we'd go on to win but we were too direct," Gray said after the 2-1 defeat.
"I'm not a psychologist but I think there were one or two players out there trying too hard to impress instead of being in a more relaxed mode and playing their natural game.
"The most disappointing thing is I've been telling Glenn how well we've been playing lately and then he sees a performance like that."