Game of Thrones season 8 ending showed Grey Worm heading to the island of Naath along with the remaining Unsullied. But if you have read the Game of Thrones books written by George RR Martin, then you will know that the show somehow killed Grey Worm in the end as well.
Game of Thrones season 8 ended and it showed Jon Snow going to The Wall and reunite with Tormund and Ghost. Sansa Stark has now declared that North is an independent place and does not come under the King's orders. Bran Stark is named king of all the remaining Six Kingdoms. Arya Stark, on the other hand, has decided to go the West of Westeros and explore new places. At the same time, it featured Grey Worm heading to Naath, the place where Missandei was born.
In Game of Thrones season 8, Grey Worm and Missandei decide to go to Naath after the war is over. However, Missandei was brutally killed by The Mountain on Cersei Lannister's orders. So, in the end, it was only Grey Worm who went there.
As per Screenrant, the lonely island is covered extensively in George RR Martin's A World of Ice and Fire. The Isle of Butterflies, as the place is known in ancient times, is described very peaceful. The citizens of that place do not believe in any war and even refuses to kill an animal to eat. Instead, they consume only fruits and vegetables.
George RR Martin's books went on to describe that strangers do not live long upon the Island of Naath. In the past, others have tried to invade the place only to meet with a deadly end. As per the books, no invaders lasted more than a year "for some evil humor lurks in the very air of this fair isle, and all those who linger too long soon succumb."
The alleged fever is carried by the butterflies and do not affect anyone who is born on the place. Instead, it kills all the strangers. Grey Worm and the remaining Unsullied are not from the Naath, it is most likely that after reaching the place, they would have met with sweating blood and having their flesh slough from their bones.
That being said, HBO's TV series did not talk much about the place so it is likely possible that Grey Worm would have gone to Naath in a perfect tribute to Missandei and would have lived the rest of his days in peace.