Published Friday, 07 September 2012
Mr McVeigh was arrested following the murder of Mr Gray in east Belfast. (© UTV)
James McVeigh was found dead in a cell at Musgrave police station on Tuesday following his arrest on Saturday.
He was detained by police after Mr Gray, 52, was found dead at his Cregagh Road home in east Belfast last Friday.
In a statement the McVeigh family say they are devastated by his sudden death and described him as "a vulnerable young man".
They said he had been under doctor's care and under his parent's daily care.
They also added he was much loved and will be missed by them.
Peter Madden, the family's solicitor, said: "The McVeigh family are trying to cope with James' sudden death and the circumstances of his arrest and detention in Musgrave Street PSNI station.
He added: "He told police what he knew and this was being investigated at the time of his death".
The McVeigh family have asked for privacy.
Mr McVeigh was arrested along with a 29-year-old man, Alan Peter Irvine, from Rosebery Gardens in east Belfast, who appeared in court on Thursday.
Irvine spoke only to confirm he understood murder charges against him. Police said he would be pleading not guilty.
A 62-year-old woman detained on Monday in connection with the murder has since been released on bail.
The Police Ombudsman is investigating the circumstances of Mr McVeigh's death.