R_J_K75
Legend
Yes, you missed Defilers and Preservers, which adds a lot of detail about the Grey and the Athasian cosmology.
Here's a summary. The Grey is virtually impenetrable. The Grey exists (1) to explain why the Gods aren't there and elements are worshiped instead, and (2) as a narrative to give DMs an excuse to bar Athasian characters from their non-Athasian campaigns.
Yes, you can spelljam, but (1) Athas doesn't know how to do that and can't easily learn or construct a spelljammer, (2) the Gith on Athas are there because they tried using "astral ships" (which might mean spelljammers) to pierce the Grey but they crashed and were stranded on Athas and mutated, and (3) anyone who owns a spelljammer does not want to take it to Athas anyways. It's a dead wasteland of a world, with a bloated, dying sun, literally toxic magic, deadly psionic enemies, etc. Oh, and if you happen to die on Athas, you don't go to the afterlife. You go to the Grey where your soul is slowly aborbed into the Grey in an eternal purgatory with every other soul from Athas. It's like going to Gary, Indiana. Nobody goes there, and everybody else is only there because they can't escape.
I was wrong re: Spelljamming. Defilers and Preservers says that the crystal sphere surrounding Athas is impenetrable. That book also gives a table giving the percentage chance of successfully getting to and from Athas from the Outer or Astral Plane and the Inner or Ethereal Plane. I knew the issue was addressed somewhere just couldn't remember where. I think your 3rd paragraph is pretty spot on. Gary, Indiana sounds like a fate worse than death, but if I ever find myself knowing Im going there I'll be sure to smash up my bathroom sink and toilet before I do, I'll be a millionaire when I get there.