E. Cobham Brewer 18101897. Dictionary of Phrase and Fable. 1898.
Merry as a grig. A grig is the sand-eel, and a cricket. There was also a class of vagabond dancers and tumblers who visited ale-houses so called. Hence Levi Solomon, alias Cockleput, who lived in Sweet Apple Court, being asked in his examination how he obtained his living, replied that he went a-grigging. Many think the expression should be merry as a Greek, and have Shakespeare to back them: Then shes a merry Greek; and again, Cressid mongst the merry Greeks (Troilus and Cressida, i. 2; iv. 4). Patrick Gordon also says, No people in the world are so jovial and merry, so given to singing and dancing, as the Greeks.