Don’t worry about the “grey thingy” on one side of the nut, it’s supposed to be there, it’s a lock nut and that grey piece prevents the bolt from coming loose too easily. If it’s not screwing together properly then the threads may be worn down or stripped on the bolt or the nut.
Like sparhawk said, best bet is to just replace it. The nut/bolt is a common size you can find at most hardware stores, just bring it to the store and find the correct size for a replacement.