It depends on the usage. If Holy Grail is being used for the 1st time, your opponent can play DoN during your prep phase (actually, it might be turn. I can't remember 100%, but I think it has to be in the prep phase) and unconvert his EC (negate). Holy Grail is also discarded (discard).
If it is being used for the 2nd and final time, no. Artifacts automatically discard themselves after their uses are up, so there is no chance to play DoN on it. This is why Darius' Decree is so evil if used to d/c heroes set aside.