The throne of Mammon is implicitly contrasted with the throne of God, which is mentioned in the next stanza. The throne of God is described in Revelation 4: 3-6 (King James Bible Online; emphasis mine):
3 And he that sat was to look upon like a jasper and a sardine stone: and there was a rainbow round about the throne, in sight like unto an emerald.
4 And round about the throne were four and twenty seats: and upon the seats I saw four and twenty elders sitting, clothed in white raiment; and they had on their heads crowns of gold.
5 And out of the throne proceeded lightnings and thunderings and voices: and there were seven lamps of fire burning before the throne, which are the seven Spirits of God.
6 And before the throne there was a sea of glass like unto crystal: (…).
The passage is full of descriptions that suggest light ("lightnings", "lamps of fire"), lustre (e.g. "sea of glass like unto crystal") or colour (gemstones and gold), i.e. the opposite of grey, which is neither bright nor colourful. Mammon cannot represent the brightness, righteousness and purity that is associated with God; hence both he himself and his throne are grey.