Now why would aliens traverse interstellar distances to produce a hybrid with us? For fun and profit? Boredom? Because they can? On a dare?
One possible reason mentioned by some is maybe they need us to save their own species - they can no longer reproduce for some reason. Let's ponder on that for a moment.
The aliens would need DNA, and DNA that was similar enough to human DNA to make a hybrid possible. And they would need to overcome the problem that most Earth mammal hybrids have - infertility (think mule). That would be counter-productive. And if they were able to overcome the problem (making the alien-human "mule" consistently fertile) then why couldn't they overcome the problem of their own infertility to begin with?
How would a hybrid save their species? The hybrid would be a new species. So why bother at all? If it is perpetuate their culture, I'm sure there would be people on Earth who would volunteer to travel to their planet to live. Ah, but those volunteers would bring their own culture embedded with them. The aliens would need some one who is essentially a blank slate - a new born. However, every species has sets of instincts, and maybe pure human instincts would not mesh well with the alien planet and culture. Thus, the need for a hybrid.
Also, the chance that the alien planet would be a close enough match to Earth for an Earth baby to thrive in are low, especially for the small Grays (the ones that are said to be between 3 to 4 foot tall). The Earth baby would find itself in a societal environment long designed for small creatures. The gravity of the planet may be much greater (a possible reason why the small Grays are small to begin with), too great for a normal human to thrive (or even survive) in for any length of time. Thus, another need for a hybrid.
But if the aliens have the technology to traverse the stars and the knowledge, technique, and technology to create hybrids, that they would have trouble solving their own infertility seems odd. Or at the very least injecting a few select specific human genes into their own genome which would only require sampling some genetic material (a mouth swab would do).
There is, however, another reason for an alien-human hybrid, if such things exist, that I think needs to be considered. Lengthy exploration of a planet that is even moderately hostile environmentally would be difficult for the aliens. If the Earth's atmospheric pressure and gravity is very low compared to theirs, has more radiation reaching the surface, the Sun's spectral class different, the temperature much cooler/warmer it could be difficult for an alien to stay long on the Earth's surface without artificial/supplementary medical/biological aids to help them. Plus, there is the concern about viruses and bacteria - some think that an alien wouldn't be susceptible to our bugs since our bugs are adapted to try to get through our immune systems and thus an alien's immune system would have no trouble recognizing Earth bugs as foreign bodies and attack. Nice assumption, but their immune system evolved on their planet and may miss an Earth bug (maybe see it as inert). Anyway, a hybrid, one brought up in the alien's culture, with alien instincts as well as human protective instincts (like our instinctive fear of a snake's hiss), might make the best alien scientists to explore and research Earth. They would have additional protection against Earth's "bugs," some native instinctive reaction to give them further protection, and can better survive and interact in Earth's environmental conditions.
The UFO Book: Encyclopedia of the Extraterrestrial, Grays are most commonly reported in the U.S. (75% of all alien sightings) with Europe and England reporting Grys 20% and 12% of the time, respectively.