As the elves live in the desert, they are like xerocoles (desert animals). They have adapted to the desert environment and they have evolved to have gray/grayish (grey/greyish) skin. Many xerocoles have grayish/brownish skin/fur color.
Gray color has somewhat thermodynamic efficiency. The rate of heat transfer by radiation is largely determined by the color. For example, gray doesn't absorb heat as much as black and doesn't radiate as much (or fast) as black also. White is a poor absorber and is also a poor radiator. Gray is just in between and it is an ideal color for heat transfer in the desert climate as it gets hot in daytime and cold in nighttime.
Here are some desert animals:
Coiled gray-banded kingsnake at Carlsbad Caverns National Park
A meerkat (Suricata suricatta) in the Kalahari Desert © UZH
Desert Lark (Ammomanes deserti) - Niall D Perrins
Ksar Ouled Ghanem El Jorf, Meknès-Tafilalet, Morocco
Northern Desert Horned Lizard - Phrynosoma platyrhinos platyrhinos
Adult, Lassen County north of Honey Lake. © Debra Frost
Gray Fox (Urocyon cinereoargenteus)
Photo by Robert Shantz Near Bill Williams River, Mohave County, Arizona.