Hmmm. IMDB shows a Gregory or Greg Cox credited on a few titles.
Gregory Cox (I), actor, in X-Men: First Class.
Gregory Cox (II), self, in Steel Band Panorama.
Greg Cox (II), self, in Hands on a Hard Body: The Documentary.
Greg Cox (VI), camera dept., in Starfish.
Greg Cox (V), actor, in Frog Fortuna.
Greg Cox (III), sound dept., in Queen on Fire: Live at the Bowl.
Greg Cox (I), actor, in Lies My Mother Told Me.
Greg Cox (VIII), self, in NFL Monday Night Football.
Greg Cox (IV), visual effects, in The Wedding Date.
Greg Cox (IX), actor, in Cheery Point.
Greg Cox (VII), self, in 1985 Fiesta Bowl.
Greg Cox in Hands on a Hard Body sounds pretty interesting until you find out it's about a contest to see who can win a truck by keeping their hands on it the longest.
None of those are me, alas, although I am a bonus feature on the Wrath of Khan DVD.

This would have been back when TLC was still calling itself The Learning Channel. I didn't have cable back then, so I never saw the final product, but I know it aired because, for the next few years, I would occasionally get a phone call from a friend:
"Hey, Greg! Was that actually you walking through a graveyard on cable last night?"
FYI: Hands on a Hard Body is a pretty compelling documentary, btw. I believe they later made it into a Broadway musical. Really!