"These are my first pale gray shoes."
Translation:Ce sont mes premières chaussures gris pâle.
Good point, this is one of the most difficult set of rules of French Grammar: Color adjectives. One rule is that a compound color adjective doesn't agree in gender nor number (chaussures grises, but chaussures gris pâle). It's because pâle is an adjective describing gris; the gray is pale, the shoes are not. In this case, the historical construction was chaussures d'un gris pâle ≃ shoes colored with pale gray. Therefore, the aforementioned rule.
I searched on Google if there was any grammar rule about that in French, but I have found nothing. Although, I thought about it for a moment, and here is what I think.
In French, you often write what qualifies a word after it. This is why most adjectives are after nouns. For instance, "a black cat" (article + adjective + noun) in English is translated as "un chat noir" (article + noun + adjective) in French.
This is the same with compound colour words (I do not not how you call them in English): first, you have the adjective, and then you have the word that gives a little nuance to it. This explains why "pale gray" (adjective describing the colour + colour) in English is translated as "gris pâle" (colour + adjective describing the colour) in French.
I do not say that this is necessarly why this is like this and that it applies to every compound colour words, but I think that it may help you to know that. If you did not understand what I said, feel free to ask me to rephrase my comment. I am still learning English, so I will not be offended if you ask me to do it :)
You may want to read my reply to wyt230143's comment above. In short, I did not find any grammar rule for that, but I wrote what I think about it as a native French speaker :)