<<Disclaimer: Verify this information before applying it to your situation.>>

Did a little research on the making of sherry wine and came up with the
following:

The classic (authentic Spanish) method for producing sherry wine involves
aged pure grape wine, blended with older pure grape wine to improve the
flavor, and also the addition of pure grape brandy to increase the
alcohol level.  As is usual with specialty wine varieties from Europe,
there are very strict laws governing how something sold as "sherry"  can
be made.

So-called "cream" sherries are a variation invented by the British which
have extra sugar added to increase the sweetness.

What I conclude from this is that a quality brand of authentic Spanish
sherry should  be grain-free. However,  with other types, one should
consult the manufacturer.  Cheaper mass market brands not controlled by
the European food laws could conceivably contain grain alcohol as the
added alcohol, or possibly sweeteners with a grain source.