Which of the following is illegal for a pitcher to wear?

The choice indicating that a pitcher cannot wear a glove that includes the color gray is correct. According to baseball rules, a pitcher is not allowed to wear gloves that can be confused with the baseball. The color gray is not permitted because it can blend in with the color of the baseball, especially in certain field conditions. The primary concern is that the opposing team should be able to see the ball clearly when pitched.

In contrast, the other options presented may not necessarily violate rules regarding a pitcher's equipment. A glove that is red or blue can still be distinguished from the baseball, and should not inherently cause confusion. An undershirt with black sleeves is generally permissible if it aligns with the team's uniform standards. Lastly, while a cap without the team logo is unusual, it is not explicitly illegal as long as the cap does not interfere with the game or the players.