So far as I know, it's never been mentioned in the books. Ever. Not by Eb, Not by Thomas and not by Harry. I don't even remember any speculation on it. And yet reading through the Morgan Microfiction thread, it struck me how many people were waiting for Harry's birth. How everyone knew he was something "Starborn or Destroyer" etc. And while it's suspected that Elaine might be one, that hasn't been confirmed. So a big missing piece of the puzzle is who is Harry's Grandmother?
WAG's.
Mab - we know she had children, at least 2. And we know Eb warned Harry about Mab, though we don't know what dealings Eb had with her but we KNOW Eb has made 'questionable' decisions in the past. We know that Winter's long had interest in Harry through Mab and Lea's words. I don't think this is likely but given how Mab treated her other children, it's not inconceivable. Just a really out there WAG.
Lea - Yes, she is Harry's Fairy Godmother....but at times she seems to have an interest beyond that. If she was Margaret's mother, it makes sense to why she was chosen to be Harry's Godmother as well, to actually bind her to him. Lea isn't as likely to have much interest otherwise I would think, given Fae relations with mortal offspring. And we know Eb and Lea know each other well enough to plot to get the Grey Council to Mexico on Harry's behalf. There's lots of untold story about Eb's dealings with the Fae. He knows many of them, which doesn't seem to be /that/ common among wizards.
Loki - Given that Loki is supposedly the mother of Odin's horse Sleipnir and the father of Fenrir the wolf among others. It's entirely possible given Odin is running around that Loki might be as well. (Naughty Naughty Eb.)
But the question of who Harry's Grandmother is an important one I think, one that will have an influence over what happens. Somehow Jim has managed to avoid much questioning on this point however.