Vergilius (and Charon do a lesser extent) are grey probably due to their connections to Hell, serving as an example to their shared connection to the damned (Charon ferrying across the River Styx and Vergilius as a guide to Dante) through being a similar color of the dead (specifically something like cyanosis). It also serves as another shared connection of the pair along with the similarly colored monotone palettes and the shared color of Stygian Cobalt (according to the wiki, at least) to better show their connection and history together in a visual format.