The visitors from the Championship could not have hoped for a better start as they took the lead after just four minutes when midfielder Stuart Green's cross was headed home at the far post by Jason Price.
Blackpool passed the ball around neatly in search of an equaliser and looked like they had one on 16 minutes when Danny Coid's fine cross from the right was met with a diving header from Rory Prendergast but the ball went inches wide.
The breakthrough finally came on 29 minutes when the lively Keigan Parker was dragged to the ground by Roland Edge in the penalty area.
Blackpool skipper Peter Clarke stepped up and fired home from 12 yards.
With Blackpool now on top a great pass and move put Grayson in for the winner.
Hull, who beat Blackpool twice last season on their way to promotion, brought on the big guns after the break with Northern Ireland star Stuart Elliott and striker Craig Fagan called off the bench.
And it was Fagan who went the closest to finding an equaliser with a shot on 73 minutes which beat Blackpool Keeper Les Pogliacomi but not defender Clarke who cleared off the line with Green hitting the rebound over the bar.
Hull boss Peter Taylor said after the game: "Their second was a wonder goal, but although we played some good football I would expect a bit more from the players.
"We could have been a little bit more clinical in front of goal but honest performances aren't always enough."
Blackpool skipper Clarke said: "I've seen a lot of players take penalties and miss them over the last year so I thought I would have a go myself."