No, Elise E specifically makes her "Untargetable" like Fizz E and Vlad W. Untargetable is a bit of a misnomer, you're actually immune to any new damage or cc effects while you're Untargetable whether aoe, targeted, or skillshots, but you continue to take damage from already applied DOT effects (Malz E, Cass Q or W) and you don't break tethers attached before the untargetability (Fiddle W, Karma W).
As far as I'm concerned, Graves W is just a ground targeted repeated aoe affect like Soraka or Kog'maw e, so there's no reason it should apply while you're untargetable. There are two possibilities:
- It got applied to Elose before she was up in e, and the effect just lasts a bit after you leave it with E making it function as if you were still in it.
- For some reason only exactly Graves W forgets to check for untargetability.
It would be easy enough to test with a friend if the effect still hits you while you're untargetable with E though.