I never read about Crowley's alleged connection to grey aliens, however, Led Zeppelin has a connection to the influential occultist Aleister Crowley primarily through their founder and guitarist, Jimmy Page. Page was fascinated by Crowley and his teachings of "Thelema", and he incorporated various elements of Crowley's work into Led Zeppelin's music and imagery.
One of the most notable connections between Led Zeppelin and Aleister Crowley is the use of Crowley's famous dictum "Do what thou wilt shall be the whole of the Law" in the inner sleeve of Led Zeppelin's untitled fourth album, commonly known as "Led Zeppelin IV." This phrase is a central tenet of Crowley's philosophy of Thelema, which emphasizes individual will and self-realization.
Additionally, Jimmy Page owned Crowley's former residence, Boleskine House, on the shores of Loch Ness in Scotland which was said to have been haunted.
Also, Aleister Crowley is depicted on the cover of The Beatles Sergeant Pepper's Lonely Hearts Club Band album cover.