~!! I do not keep up with their interviews or anything of the sort, so I am not exactly sure. I sure except them being asked that very question in one of their interviews. Probably one of their hardcore fans knows ~!!! Anyhow, "Dir" sounds very much German, "En" is probably French or Spanish, and "Grey" is English, of course. I don't know what "Dir" means in German, but "en" means "in", I think, in Spanish. So, it's like "something in Grey".
And, I am not sure how exactly you would spell "Dir" in German. Just "D'ee'r", I suppose.