What is gray market sites? Really don't know.
There are official retailers that source their keys from publishers and developers (like Indiegala, Fanatical, GreenManGaming etc.) and there are "grey" sites through which anyone can sell their extra keys (G2A, Kinguin, Plati(dot)ru and numerous others).
The original concept is you might get a key for a game you don't want or already have with a purchase of graphics card or something like that and such platforms allowed you to make a little bit of money instead from it. Then the bundles appeared and suddenly loads of people were buying them up to resell the keys.
Which is all fine and dandy but then we get to scammers. There have been cases where people would buy thousands of keys from a developer with stolen credit cards, immediately sell them for super cheap and once the fraud was found out, the developer would lose money and on top of that get hit with chargeback fees, while the scammers got away with a hefty bit of cash. Some devs have publicly talked about being nearly ruined because of such scams.
For example, a couple of years ago after some devs went as far as saying that they prefer their games pirated rather then people guy them on G2A, G2A tried pushing back and went as far as offering to pay a cooperating dev 10 times the price of any key that an audit would show was fraudulent. Surprisingly one dev (Wube Software, creators of Factorio) took them up on their offer and unsurprisingly G2A ended up paying them almost $40000. Because of course nobody would sell $2 keys for a game that cost $20 in early access, $30 after full release and
never had a discount or was in a bundle. Nobody except for fraudsters that is.
After that G2A proudly proclaimed how great they were and how well their system worked, neatly
forgetting that they only offered such a ridiculous sum, because they stated that there were almost no fraudulent keys being sold on their platform.
In the end gray market can work fine , but it's guaranteed to be at least a little bit shady and there's a risk that your key will get revoked later.
Personally, I bought a couple of cheap games from such sites, one because it's not sold anymore after the dev or publisher (maybe both?) went out of business, and the other is not sold in my country and trying to buy it from indiegala for credits never seemed to work.
Well, technically more than a couple, I guess, because I grabbed a bunch of games from Kinguin, when they had their Crazy free weekends event a couple of years ago.