The Thieves Guild isn't a continent wide organization. I believe the thief guilds from the different provinces have contact among each other (if only to exchange contracts) but they don't have the same structure. Unlike the Mage and Fighter's guild which were Imperial sanctioned organization (and disappeared along with the Empire after the Septim line ended).
So I think the thieves' guild in Skyrim will be very different from the one in Cyrodiil and I doubt there is a Gray Fox. Morrowind had a thieves' guild as well and there wasnt a Grey Fox either.