That's Mr Martins' little joke, of course. We all know perfectly well Zane Grey wrote what we call westerns. Cowboys and bandits.
8 seconds sound clip from the The Third Man (1949) movie soundboard.
You can hear this line at 00:52:06.467 in the Blu-ray version of the movie.
Quote context
[...]
- Yeah, well, I... I suppose that is what I meant to say.
- Of course, of course, of course.
- Do you believe, Mr Martins, in the stream of consciousness?
- Stream of consciousness? Well... Well...
- What author has chiefly influenced you?
- Grey.
- Mr James Joyce. Now, where would you put him?
- Oh... would you mind repeating that question?
- I said, where would you put Mr James Joyce? In what category?
- Can I ask, is Mr Martins engaged on a new book?
- Yes. It's called The Third Man.
[...]