After he awakes to find himself transformed and the weather outside dismal, Gregor's first impulse is to

Gregor is unable to believe in his transformation and he thinks he must have been dreaming.

Explanation:

Gregor Samsa is the central character of the novel 'They Metamorphosis' which is authored by Franz Kafka. It so happens that one day when Gregor wakes up in the morning he is transformed into an insect.

Gregor couldn't believe this when he finds out his transformation. He is quite surprised and he thinks that it is not reality, he might be just dreaming.

But when he looks around his room, and begin to notice and sense the puzzling sensations of his new being, that's when Gregor realized that he is not dreaming. He has transformed into an insect for real.