Town missed their first three spot-kicks but still won a dramatic shoot-out 8-7 against Sheffield United after a goalless 120 minutes at Wembley.
Grayson only took over Huddersfield in February, replacing Lee Clark just 20 days after being sacked himself by Leeds.
"When we put together the first five penalty takers we didn't expect it to go down to the goalkeepers to take them," said Grayson.
"I expected them to save a couple but not to take the decisive ones.
"We missed the first three, so how we recovered from that I'll never know.
"I couldn't affect anything so I just sat down on the bench next to my chairman, I didn't watch any of them.
"I could tell by the crowd what was happening, basically we just had a laugh and a joke about what was going to happen. It's down to the players.
"Sometimes it's written in the stars, you get your bit of luck and we managed to do that."