I agree with most here that I would not take Grayson out of the rotation to become a closer, but I don't think it's as insane as some would lead you to believe.
Now I can always build scenarios that could make just about anything become plausible, but what if Bradish and Means hold up all season and we're heading into the playoffs with Burnes, Bradish, Means, Grayson and Kremer/Irvin/Povich in the rotation. You really only need 3 starters in most playoff formats until potential game 7.
What if Grayson was long on innings by then and say Kimbrel was toast and the bullpen is missing that dominant guy late in games?
Now remember, in this scenario, Burnes, Bradish, and Means are all pitching at their top form. Would I then consider Grayson as a closer?
I don't know, but I would consider the option at some point in this scenario. Would I do it now at this point in the season, no, I would not, but Grayson does have the lights out closer stuff a team would look for, and he could be used for multiple innings if needed.
If the Orioles win a World Series, no one is going care whether he was a starter or a closer at that point.