Hi ProudGM,
Zinnia seeds can look gray.
Mature seed (any type of seed) color can be black, gray, dark brown, tan, cream, and any combo of those. Sometimes they can even be red like beans. Immature seeds are green and sometimes white. White is tricky because there are seed that are white when ripe. Many times when you see white though, they are not ripe yet. If I see white and I'm not sure, I feel them. Immature seed will be very moist still and easy to smush.
Remy

I'm harvesting zinnia seeds! Actually my mom gave me a bunch of seeds she harvested from her zinnias last year. I scattered them in the garden this spring and had great results! Only time I had a problem with them was Japanese beetles eating the leaves. Now I've harvested seeds from mine to share with friends and plant again in the spring. So fun!

i agree with remy:)
i collected green envys today seeds were dark brown, but like remy says they can be any color, if there hard there good:)