Yeah, this is a tough one if he cannot be moved to a different room...
A lot of birds love taking showers in the actual shower, but they hate the misting with a spray bottle. I think a lot of them perceive the misting with a spray bottle as a kind of punishment. Plus, in the case of my birds, they seem to really like the warmer water and the steam in the shower, especially my Senegal, he absolutely LOVES his shower-perch, but he hates being misted and he hates baths...
But if your Grey has actually tried to get into his water dish to bath, then that's a good sign that he does like water. The only thing I can suggest is to keep trying different bowls for him to bath in, it may be that particular bowl that he doesn't like, as they're funny like that (or smart like that). Like I said, he's trying to get into his water dish to take a bath, and he's familiar with his water dish as it's inside his cage all day long. So it's quite possible that he just doesn't like the bowl you're using. A lot of the time it's all in the little, tiny details that to us seem insignificant...
Also, when you've tried misting him with a spray bottle, have you tried not actually misting him directly, but rather spraying the water above him, so that it falls onto him like a shower? Sometimes they like that, but they hate being directly sprayed...
Otherwise, I suggest buying or building a shower perch with suction-cups to put into your shower, either way he is going to eventually really like to shower in the shower, and once you earn his trust and he bonds with you, he'll love taking a shower with you. I've built several PVC shower perches, they are extremely easy to build, and the PVC piping, the 4-way T, the 1 90-degree elbow, and the 4 end-caps only cost about $6 or $7 at Lowes, the vet wrap is only $1 or $2 at Tractor Supply, and Walmart sells a package of 3 of the large suction cups with the nipple on them for $2.50...Takes about 30 minutes total to cut the 3 pieces of piping for the anchor-legs that the 3 suction cups attach to, then cut the longer piece of pipe for the actual perch, then drill a hole in the 3 end-caps that go on the ends of the anchor-legs, making the hole much smaller in diameter than the nipple on the suction cup, then shove the nipple inside the hole in the end cap so that it's secure and can't come back out, then put it all together and wrap the perch part that they stand on...Easy.
And if you can get to the point that you can move him to the bathroom on a long perch/dowel/branch, and allow him to simply sit in the bathroom with the shower running, so that he can get used to the sounds and the steam, they typically will adjust very quickly. Then move him to the shower perch without the water running, then when the water is running but not on him, etc. Some have a pace faster than others, but Greys typically absolutely love the shower...In the meantime, I'd keep trying different bowls, and putting the bowls of water in different places, like in the bottom of his cage, on or under his stands, etc. Sometimes it's the bowl, sometimes it's where the bowl is...
