The Collaborative International Dictionary of English v.0.48:

Grig \Grig\ (gr[i^]g), n. [Cf. Sw. kr[aum]k little creature,
   reptile; or D. kriek cricket, E. cricket.]
   1. (Zool.)
      (a) A cricket or grasshopper. [Prov. Eng.]
      (b) Any small eel.
      (c) The broad-nosed eel. See Glut. [Prov. Eng.]
          [1913 Webster]

   2. Heath. [Prov. Eng.] --Audrey.
      [1913 Webster]

   As merry as a grig [etymology uncertain], a saying supposed
      by some to be a corruption of "As merry as a Greek; " by
      others, to be an allusion to the cricket.
      [1913 Webster]