I hadn't, until I came across this mention of them in Wikipedia while I was looking up facts about the original Moody Blues:
The Moody Bluegrass project is a group of Nashville artists who have recorded an album of 12 Moody Blues songs in the Bluegrass style, under the title Moody Bluegrass – A Nashville Tribute to the Moody Blues. Those involved include Alison Krauss, Harley Allen, Tim O'Brien, John Cowan, Larry Cordle, Jan Harvey, Emma Harvey, Sam Bush and John Randall.
A second Moody Bluegrass album entitled Two...Much Love with a further 16 Moody Blues songs includes guest performances from Hayward, Lodge and Edge, (each of whom is credited as the lead vocalist on one song) plus Thomas and Pinder, making this the first time since 1978 that these five musicians all appeared on one newly-recorded album.
Moody Bluegrass has a Web site, although it appears to be largely publicity material for their second album.
Having grown up with the Moody Blues, I was fascinated to find that their music transfers remarkably well from heavy/symphonic rock to bluegrass. Here's an example from their seventh album, appropriately called Seventh Sojourn. I'll embed first the Moody Blues' original version of 'You And Me', followed by the Moody Bluegrass cover.
There are many more Moody Bluegrass songs on YouTube. They make interesting listening.