For what I understand, there is no Dreadnought in Grey Knight codex. Mean you can still use it in your Grey Knight army since it's Imperium unit, however it will not fill any of your detachment requirement say, "Elite Requirement" since it's not part of your Grey Knight "option"
So 1) you either use another Grey Knight Elite ex: Grey Knight Terminator to meet that "Elite" detachment requirement
Or 2) have another detachment in addition, with Space Marine and Dreadnought
Edited: that said there is Grey Knight Dreadnought, it's called Dread Knight, but that is another different unit. So I don't know maybe you can proxy your Dreadnought as Dreadknight. Since they are both drastically different it's depend whether your opponent is ok with it.
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