There is a baptismal record in Adelsheim, Germany for Wilhelm Heinrich Gehrich, born March 12, 1867, baptised April 17, 1867. The stone marker in Kensico Cemetery, however, clearly lists his name as Henry L. Gehrig.
There is a baptismal record in Adelsheim for Heinrich Ludwig Gehrig, born March 1, 1862, baptised March 9, 1862.
We need to do further research to learn whether Lou Gehrig's father adopted his brother's name, or whether there is an error in the Familysearch.org summaries. When I have time, I will look at the microfilms to see if it is possible to resolve the issue.