McKay was released by Leicester at the end of last season, despite having a prolific record at Academy and Reserve team level at the club.
McKay came off the bench to score in Tuesday night's 2-1 friendly defeat to Coventry and Gray believes he will prove to be a good signing.
"Billy is a lad with a terrific attitude and a real determination to succeed," Gray said.
"I am sure those fans who have seen Billy play in pre-season have been impressed. He is a player who impressed me when I saw him play a few times for Leicester reserves last season, and when we knew he had been released we invited him to join us for pre-season training.
"He has impressed us, both in training and in the matches, and now this is a fantastic opportunity for Billy to progress his career. He has an eye for goal and hopefully he will add more variety to the striking options we have in the squad."