When I use ghaston grey on one of my characters can I use a dup to save that character?

Nope. Returning the character to your hand is a cost. Whether the card text has "cannot be saved" or not, you cannot save from the cost to initiate an effect.

Step 1: Initiate cost - by paying all costs. Your character becomes moribund:hand and you target your opponent's character.

Step 2: Save/Cancel - your opponent attempts to either cancel the location effect or save from the leave play effect.

Step 3: Resolution - your character returns to hand. Assuming the effect was not cancelled or saved from, your opponent's character also becomes moribund:hand.

Step 4: Passives

Step 5: Responses - play things like Parting Plow

Step 6: Clean up - all moribund cards leave play.

So why do some cards say cannot not be saved and some do. If you save the character it stops the effect shouldn't they all say cannot be saved.

PS. Thanks for the quick reply

It's more that none of them need to say "cannot be saved" because there is no place in the timing structure to save a card that leaves play as a cost. However, not a lot of people realize that from the rules themselves and need to be told. So the "cannot be saved" functions more as reminder text, especially on earlier cards and/or effects that people are going to be more likely to try to "rig" by trying to "save the cost." Ghaston Grey falls into both of those categories, I think.

If returning the character to hand is the cost then even if the action is cancelled wouldn't the character still be returned to hand - you cannot cancel the cost of something

Of course. The Martell Noble used to pay the cost returns to hand if the effect is canceled. The target character would not.