The audio for this sentence is not that good. I can't hear the slow version, unfortuneately. Therefore I can't quite imagine how the "stød" should cause an "et" to snuggle in between grå and hund... Maybe it will help to hear the words seperately?
Pay attention to how mørk is pronounced in the link, that's the correct way - NOT like Duo is trying to, that's just... awful. xD Sorry, Duo.
Remekk, you said that in the slow version grå and hund was pronounced like one word. Did it help to hear them seperately?
About the å: it's correct that the å in blå is pronounced the same way as the å in grå. It's a short vowel, meaning that no air is let out at the end of the word like there is in for instance both the English and Danish pronounciation of the letter p. One has to, as awefulwaffle pointed out: use the "stød" - or in English: the glottal stop.
The first pronounciation (to the left) of blå on this page is really good: http://ordnet.dk/ddo/ordbog?query=bl%C3%A5=S%C3%B8g
See also: http://da.forvo.com/search-da/bl%C3%A5/
There is also a long å vowel as in at håbe -- to hope: http://da.forvo.com/search-da/h%C3%A5be/ But that's another story...
So, to conclude: 1) pronounce grå as if you only had a little amount of air in your lungs, and you had to spare it or else!! - you would die. (maybe a little too morbid...) 2) Don't pronounce mørk like Duo does. I'll have to talk to him about that, but be kind to him - Danish is difficult, even for an owl. ;-)
Maybe the sound is a glottal stop. I do not hear an "et" between the words.
I am not a native Danish speaker. According to http://laerdansk.weebly.com the "å" in "blå" is a short vowel and is pronounced using the "stød". In most Danish dialects, the "stød" is a glottal stop. I'm guessing that the "å" is pronounced the same in blå and grå.
The specific webpage (at the time of writing): http://laerdansk.weebly.com/lektioner/det-danske-alfabet