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.]
(a) A cricket or grasshopper. [Prov. Eng.]
(b) Any small eel.
(c) The broad-nosed eel. See Glut. [Prov. Eng.]
2. Heath. [Prov. Eng.] --Audrey.
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.