Icon For Hire – The Grey lyrics

In my opinion, this song is about committing a suicide because of a mental illness like depression or anxiety. Personally I think it's depression. "The Grey" is where her mind goes during when she feels depression. When she is in 'The Grey' she wants to kill herself.

"I'm standing on the edge of returning or just running away" This could mean that the person is contemplaining whether she should run away from her problems by killing herself or not kill herself and try to fix the problems.
"I don't think I know my way back home" She's not sure if she can get back to her normal self, the one she was before she had self-harming thoughts.
"How cold have I become, I didn't want to lose you by what I'd done caught in the Grey" She realizes it would be 'cold' to commit suicide in a moment of depression (in the Grey) and cause pain to others who cared about her. She also doesn't want to lose her loved ones by killing herself.
"I don't wanna look you in the eyes you might call me away. I don't wanna give you the change to make me stay." She doesn't want to look at her loved one before trying to kill herself since she knows they will make her change her mind.
"And the hardest part of all this, I know my way back I don't want to go and let you see all that has become of me" She realizes that she can work through her problems but she doesn't want to admit them to her loved one.
"It burns for a moment but then it numbs you, takes you and leaves you just caught in The Grey." Her depression is so heavy that she's done fighting against it; soon she will just be in The Grey wanting to kill herself without even resisting her depressed thoughts.
"You tell me: In your deepest pain, in your weakest hour, in your darkest night you are lovely." Her loved one assures that even though she has depression, she is lovely to then and she shouldn't kill herself.