Northampton have been without the suspended Adebayo Akinfenwa for the past three games and Bayo sits out his 4th and final game tomorrow. Cobblers have been struggling and are just above the League 1 drop zone.
The manager has been trying to bring someone in but without success.
"We're trying our socks off," Gray told BBC Radio Northampton.
"But I'm having to beg at the moment to get a striker in. We just keep our fingers crossed," he added.
"Last week we thought we had a Championship striker coming here.
"We'd agreed it with the club, but when their manager asked the player he didn't want to come."
Tomorrow's opponents Peterborough have automatic promotion in mind and won't be thinking of doing Northampton any favours.