just best friends (but wenda have some feelings ;))
I think it's highly likely that the relationship between Wenda and Gray isn't canon in that mod created by Xeno either, because look at their character profiles. Gray's says "Partner || N/A," which means "Not Applicable" or "Not Available." If Xeno had wanted Wenda and Gray to be a couple, he wouldn't have put "Partner || N/A," but something like that. And Wenda's profile says that "she spends most of her time with her friend Gray because he's not as annoying as the others, he's more laid-back." That indicates it's just a friendship of convenience; neither Wenda nor Gray have any hidden or "secret" feelings for each other. Even Wenda's info card says she's only "Relative || Midnight," which also means she has a sister named "Midnight" and that she's more focused on her family than on a "boyfriend."

