What did the gray actually look like on paper though? Was it a flat dull gray across the whole sky, or did you get banding and weird green patches mixed in too? The reason I ask is that RGB to CMYK conversion can go bad in different ways depending on the file. A flat washed out look usually means the printer just ran your RGB file straight through without converting it, but green or brown spots in a blue sky usually means their color profile is off. Those are two different problems and only one of them is really your fault. Did you check the file info on the originals they printed, or just compare the preview on your screen?