An embrace for Lady Grey (5)

I believe the answer is:

ashen

I'm a little stuck... Click here to teach me more about this clue!

'grey' is the definition.
(I know that ashen is a type of grey)

'an embrace for lady' is the wordplay.
'embrace' indicates putting letters inside.
'for lady' becomes 'she' (I am not sure about this - if you are sure you should give a lot more credence to this answer).
'an' going around 'she' is 'ASHEN'.

Can you help me to learn more?

(Other definitions for ashen that I've seen before include "lacking in colour" , "Like bird" , "Wan - wooden - pallid" , "pale in colour" , "Very pale, with shock or fear" .)

I've seen this clue in The Globe and Mail, The Telegraph and The Guardian.

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