The 33-year-old has been involved in a dispute with Vancouver Whitecaps, who refused to release the former Hibernian and Newcastle keeper from his contract.
And Caig told the Daily Express: "I looked at the possibility of playing as an amateur, but it seems to be a no-go.
"The SFA are willing to register me, but the SPL have told me I wouldn't be able to play first-team games."
Caig, whose contract with Vancouver ended after the European transfer window closed, must now wait until signings are allowed again in January before joining Gretna.
"I haven't been paid for three months and now I won't be able to earn a living until 1 January, despite the fact that I have a family to look after and bills to pay," he said.