In terms of color temperature, the flash puts out cooler colored light. Setting the WB to flash compensates by warming up the colors in the image. If the flash is the main source of light for a photograph, the warm WB setting will offset the cool light from the flash, leaving you with whites that look white. If, however, the flash is only a secondary source of light (which it appears may have been the case in your photograph), then the warm WB will overcompensate and give you a yellowish/brownish tint. The solution...you can shoot in RAW and adjust the white balance in post-processing, or just try different WB settings til you get something you like. Just cause it says "cloudy" doesn't mean you can only use it when it's cloudy
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By the way, if you hadn't mentioned that the walls are supposed to be grey, I would've thought ther looked totally natural. But if you're trying to achieve a cold stone building feel, I could understand why you wouldn't want warm earthy walls.