check out this video david posted a couple of months ago...

I suppose anything is possible!
For example, I have seen cutters that are not familiar with fancy colors, try to cut fancy colors out of  rough that'd make a nice fancy colored diamond- IF they knew what they were doing. 
The results were horrible.  I just saw one the other day.

It is rather rare, though.  Generally cutters are very expert at buying the rough they know how to cut.

To answer your excellent question GIAgirl, it is rare that a gray would slip through.
For one thing, and gray and blue are closely related.  Many times the diamond that cuts to a gray is thought to have loot blue in it from the rough.

So, it probably has happened, but not often.