"I used to think to myself about my grandmother: 'Your parents were beheaded in front of you. Why is it that you pine for that?'" says Gray. "But that told me that it was complicated. It's not easy."
"The Immigrant" seeks to puncture the myth of the American dream: It's promoted in the film by a magician, played Jeremy Renner. The film is neither a story of immigrants finding a glorious land of freedom or of being corrupted by cutthroat American life, but a combination of both.
"What I wanted to say is not that the American dream is bogus — because it's not in many ways — but it's a dream that requires struggle," says Gray, who notes the film has obvious contemporary resonance to today's immigration issues.
His greatest influence, he says, is another classically-minded filmmaker who took up grand American themes: Francis Ford Coppola. Gray, who saw "Apocalypse Now" as a 10-year-old, says, "I kind of owe my entire love of the medium to him."
But whether "The Immigrant" will be the film that finally catapults Gray to greater renown may not have been answered at Cannes.
"At a certain point, you have to just raise the white flag and say, well, people have 'this' in mind about what a movie should be and you have your own view," says Gray. "Either the world comes around to you or they don't."
Follow AP Entertainment Writer Jake Coyle on Twitter at: http://twitter.com/jake_coyle