We have walked and walked and walked, as well as tried to have him create a spot in the back yard. Today we walked all over the neighborhood and he relieved his bladder at every stop sign - so at least that's ok.
He is not nervous, but came from a foster home with other Greys - so he might be missing his buddies. He was just roaching in the floor and woke himself up when he fell over, so I think he's already comfortable being here.
Thanks for letting us know about Vinnie - at least this isn't unique when coming to a new home.