Grandmother Graylocks is the grandmother of Goldilocks. In Sesame Street Episode 4066, Goldilocks explains her absence for several seasons by stating that she's been visiting Grandmother Graylocks in that natural home of grandparents, Florida.
Like her granddaughter, Grandmother Graylocks' name indicates that the women in their family tend to be named after their hair color (whether those names are adjusted to factor in age and the possibilities of hair dye is never addressed).