my theory
I think that Grima was crying because he never fully realized what he'd done. He may have been thinking that he was in it for Eowyn & hadn't paid much attention to anything else. Now all of a sudden he sees an army of 10,000 Uruk-Hai that are going to wipe out every sign of life in Rohan (other than Eowyn, who he's probably not thinking much about at this point). Every man, woman, child-even every hut, home, & hall-I don't think he ever quite realized the ramifications of his role in all this. Now he suddenly sees that he's mostly responsible for the slaughter of thousands of people. He's in shock & disbelief, feeling a rare moment of sorrow over what he's done, & he sheds a tear of remorse over the horrible deaths that he's condemned Rohan to.
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