Naming your child an out-there risky name because you think it's cool is the most selfish and narcissistic thing anyone can do in my opinion. Unusual/rare names? Fine. But names that could even potentially cause jokes is so, so cruel. 50 shades of Grey jokes, Grey's anatomy jokes etc.
Should kids make fun of someone for their name? 100% absolutely not, those kids are mean. But it will happen, and you can't just decide that "oh well it will teach her that she shouldn't be friends with those kids", because it doesn't work like that. A lot of people have unusual names and get by just fine (the survivors who were likely gifted with great looks and charisma that they can just "own" the name), but others really don't and can't shake it off, especially if they are lacking in confidence anyway. Your child's name is NOT an opportunity to show your own personally/ tastes. Use fashion, home decor, or even a pet for that. Choose something low risk yet still something you like and have every reason to believe they will like. Don't make your child a target when they don't have to be.
If you couldn't already tell, I have one of these names (Doddie is a nickname because I hated it so much). I'm not going to say what it is, but it is a very typical "grandma" sounding name and people used to make fun of me loads and it knocked my confidence so much. Every time I met someone new I would wince when I would have to tell them my name (obviously most people couldn't care less, but the bullies who did make fun of my name really got in my head).
To be honest, I don't even think Grey is that bad, but it's definitely on the borderline.