While the theories here are pretty reasonable, and there is definitely some connection between gray and zero. But let's remember somethings we already know.
- We are to believe that Gray's parents, and possibly any close relatives, died when Deliora attacked his home town when he was little.
- The nine gates are demons from Zeref's book.
Now we know that Zeref has nothing against turning humans into dragons, so demons are not out of the question. It's a stretch, but I am going to say that if anything Gray is a descendant of Zero or at least not so closely related as a father or brother.
The future Gray is a little doubtful, but there is one thing that does stand out for this theory. Zero knows demon slaying magic. Now why would a demon need to know demon slaying magic? Well I'm sure demons fight all the time and it would give him an edge. Maybe this is why Franmalth fears/respects Zero.
As for Zero being Ur's husband. While it could make sense that they were married because they use ice magic, but this doesn't explain why he would smell like Gray.