If you are looking for a more detailed picture than the existing answer, you may also want to look into images of Grue drawn from author Jack Vance's work.
Vance was the original creator of the "Grue"; however, he never actually describes it fully in his work. The hints he gives when it does appear are often contradictory or unhelpful. Zork's use of it as an unseen/undescribed monster is a joke referencing Vance's refusal to explain exactly what a Grue is.
There are no canonical images of the Grue that I am aware of; however, there are descriptions, the most helpful(?) of which are:
From the nearby forest of sprawling kang trees came the moaning of a grue, arousing the hairs at the back of Rhialto’s neck.
From: Rhialto the Marvellous, chapter 5
This is the skull-stone of a grue, and at this moment trembles with force.
From: Cugel the Clever, page 160
She manifests the brooding carelessness of a forest grue.
From: Cugel the Clever, this page (no numbers provided)
GRUE: man, ocular bat, the unusual hoon.
From: Tales of the Dying Earth, this page (no numbers provided) - from a listing of creature descriptions written by Follinense, wizard of Mad King Kutt.