I bought a gray Watchman Goby from my LFS because I thought it was a different species than the Yellow Watchman that are common everywhere. I kinda liked the gray look, plus I try to pick out fish that aren't commonly seen all the time.
Over the next two to three weeks, its gray color slowly changed to yellow. By the end, it looked like any other Yellow Watchman Goby. I found out on this site that Yellows can turn gray sometimes and often turn back. Go Figure.
I think the gray is kind of an "extended" stress coloration. I think if the Goby is happy it should turn back to full yellow, but not completely sure.