In order to give you a thesis statement, I really need to know what the topic is. Are you writing about a particular theme of the story, one of the characters, or a conflict? This story is so rich in topics, you could write about many things. One of the main themes in the story is James' change from a boy into a young man during his trip to the dentist. Over a period of hours, James understands the importance of maintaining his dignity in the face of racism and poverty. You would then go on to give examples from the story that show the change in James.
Another possible topic might be the title itself. "The Sky is Gray" not only indicates the physical setting in the story but it also represents the society in which James and his mother live. Their lives are bleak due to their poverty and the racist society in which they live. There are a number of events in the story that would support this thesis.
A thesis statement usually starts with a general statement about the topic of your essay. For example, if you're writing about the racism in the story, you might say: "People react differently to the injustice of racism." Then you would introduce the title of the story, the author, and any character(s) you plan to use as proof of your thesis. "This is true of the characters in "The Sky is Gray" by Ernest J. Gaines." You could then use James' mother, the preacher, and the young student as examples to discuss this thesis.
I hope this helps. I have included links below to help you further.