So, from what I see the .yml is hard coded with the user 'graylog'. Create this user and then edit the graylog container and take a look at the "more settings" > appdata path. I noticed that in some places the container author misspelled 'gray' as 'grey' in the app data set path once you view the edit config of the appdata path.
You may also need to:
chown -R graylog:users /mnt/user/appdata/graylog/
chmod -R 755 /mnt/user/appdata/graylog/