Just to update from myself incase anyone else needs to achieve this. Someone did comment on this but the answer has disappeared.
1) I had to disable NAT (masquerading) on the GRE related interfaces in Network > Firewall > General Settings.
2) I then needed a way to set the other end of the GRE tunnel as the default route. To achieve this I added a cronjob that runs every 2 minutes or so to check whether the GRE tunnel was up, and if so add a default route.
root@TRB140:~# crontab -l
*/2 * * * * /sbin/route_add.sh
root@TRB140:~# cat /sbin/route_add.sh
RUN=`/sbin/ip addr show dev gre4-bri_mkn | grep "UP,LOWER_UP"`
if [ $? -eq 0 ]
then
echo "Tunnel is up";
/sbin/ip route add default via X.X.X.X
fi
This is probably not the best way to achieve this but it works :)