The Grey / Orange wire is simply "piggy backed" to the next coil. You can use a 2 pin connector with the three wires at one end and two at the other (going to the coil).

Due to the issues with having 2 wires on one crimp pin, I'd recommend a three pin connector.

You could also look at one "X coils + 2 " pin connector ;

One pin for the left hand lug of each of the coils and one pin for the Grey / Red. The piggy backing will be on one side of the connector. You can use 2 pins for the Grey / Red. One going in, and one going out.

So for a three coil arrangement - ONE pin for each of the coils (3) and one pin for the Grey / Orange going IN to the connector and one Grey / Orange going OUT of the connector = 5 pin connector