JACKSON, Miss.—A Mississippi death row inmate has told a judge under oath that he wants to continue appealing his case, months after saying he wanted to give up his appeals and request an execution date. George County Circuit Court Judge Kathy King Jackson issued an order Monday noting the current wishes of the inmate, Blayde Nathaniel Grayson. Grayson, 46, appeared before Jackson on Thursday and said he wants to continue his appeal in federal court. Grayson was convicted of capital murder in 1997 for the stabbing death the previous year of 78-year-old Minnie Smith during a home burglary in south Mississippi’s George County. He said in a handwritten letter to the state Supreme Court in early December: “I ask to see that my execution should be carried out forthwith.” Grayson also said then that he wanted to end all of his appeals. Grayson’s attorney, David Voisin, submitted a letter days …