All Unsullied soldiers are eunuchs, castrated at a young age, and Grey Worm is no exception. Grey Worm himself is hesitant to engage with Missandei sexually, until she reassures him that she doesn't care about the fact that he was castrated.

Do the Unsullied have a shaft?

First, it's important to note that the Unsullied have undergone something more than a simple castration: They didn't just lose their balls; they lost their shafts, too. ... [At 5 years old] the eunuchs are fully castrated, with their penis and testicles cut, and their manhoods are burned at the altar of the Lady of Spears.

Is GREY worm really a eunuch?

Grey Worm, an Unsullied warrior-eunuch. Daenerys Targaryen travels to the slaver city of Astapor to buy an army of Unsullied, slave soldiers who have been turned into eunuchs to improve discipline. Lacking male organs, they do not take part in rapes.