This is probably possible (similarly to timestamps I believe), as long as 'small jpeg' is one of the camera's built-in JPEG size/quality presets.
I'm not convinced it's worth the trouble, though, since you can overlay grids to JPEGs on a computer via batch processing using existing tools. If you use several different grids and need to know which one was used for each photo, maybe a tag could be added to DNG EXIF (or a separate grid or text or log file for raw RAW)?