While uploading a photo you selected someone's gallery by mistake, or put it in one of the public galleries such as "SGS Outings", etc. When you did that you found out that you couldn't delete it because the red X is gray in your editor window.

It may seem like you can't delete it, but next to that grayed out X for deleting is the word edit, click on that and the editor window that opens allows you to change the gallery it is in. You'll notice that in that editor window it will say what gallery it currently is in, you only need to select from the list of galleries there and can move it to one of your published or unpublished galleries and then click the "floppy disk icon". Once you have moved it the "X" should now be red in your list of photos and you can either delete it later or keep it in your gallery.