Here are a couple of ideas:

because of his ability to seemingly appear and disappear at will, Mosby became known as "The Gray Ghost."
http://www.civilwar.org/education/history/biographies/john-singleton-mosby.html

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This ability to strike quickly and then "disappear" gave rise to Mosby’s nickname, "Gray Ghost"
http://www.historynet.com/john-mosby

……

It was Lincoln himself who named Mosby "The Gray Ghost." The Union Army's biggest fear in Washington was that Mosby would kidnap Lincoln from right beneath their nose. Lincoln, upon hearing several of his generals discussing Mosby and their fears, loudly announced, "Listen to you men, you speak of Mosby as though he is a ghost, a gray ghost." It wasn't until after the war that Mosby learned of this and that the nickname stuck.
http://www.angelfire.com/va3/valleywar/people/mosby.html