Good morning, Joe~
Interesting idea with the Pex.  I would experiment a bit to get paint to stick. I might scuff sand with 220, wash with acetone, then spray with one of the Krylons or Rustoleums with "Fusion technology" that sticks to plastics.  Try scratching it off after a few days of cure.
If that fails, you may need to flash heat with a torch immediately before applying paint - so the surface is chemically receptive to the paint.
Also - because the Pex is round in cross-section, you may need to lash each grass bundle.  I would be concerned that there's not enough friction to keep the grass in place. - especially if the Pex is not stiff enough to maintain a constant space between the bottom of the rail and the deck (which is why I have not used PVC lumber for thatch rails).
BTW:  An entirely different approach would be to abandon traditional thatch rails and instead run 2 rows (more or less parallel) of 1/4-inch shock cord - held to the deck every 12 inches or so with strap eyes.  Bundles of thatch would be lashed to each row.  This is how I thatch my gunning coffins.  I would still run central thatch rails down the foredeck and the afterdeck.  They are great for mounting hardware and nav lights (at least up forward).
All the best,
SJS