Gray Zone Warfare salesman Gunny has one more task for you: he wants to know if there are any naval vessels he can acquire, and wants you to go to Tiger Bay to find out if he can build his own navy.
Aye Aye, Captain | Gray Zone Warfare Task Guide
After completing this mission myself, I can safely say that Tiger Bay should be renamed Lion's Den, because completing this task won't be easy. Here's how to complete Aye Aye, Captain in Gray Zone Warfare.
To complete the Aye Aye, Captain mission in Gray Zone Warfare, travel to the pier in Tiger Bay at coordinates 201, 130. You'll need to reach the end of the pier and look out over the sea to complete the mission, but getting there won't be easy.
Tiger Bay and its surrounding points of interest are filled with dozens of heavily armored AI bots, and since there will be a lot of players around to complete missions, you'll likely be doing a bit of PvP as well (unless you're playing Joint Operations). Suit up, grab a stack of medicine, and ideally a few friends to complete this mission.