Thank you, but I was pretty sure that the hair was grey and not mud or dust. Also the main body of the bee was black without any rings of a lighter colour. I'll have another look at the photo and see if I can blow it up a bit more so that it is clearer.
Ok I've had another close look at this bee and perhaps you are right. It was on a wall which has holes in it. Could this bee have hatched inside one of these and just made it's way out? The colour on it's head would be the colour of the mortar between the bricks. Is there a bee that does this?
I'm no expert of bees or their lifes (and no expert on anything else), but:
Consider an Andraena cinerarea. It is crawling out of its hole in the ground (I have no idea of the weather in Britain that day, I live in rainy Sweden - but it's worse in Norway, of course, as everything is) and gets mud on itself. It gets more mud on the front end, naturally (I can explain why!), and it also get more mud on the hairy parts than on the smooth parts (which I also can explain). Now, can you see the three bands on the "thorax"!? Light (muddy on pale hairs), dark (less muddy because less hairy and dark hairs) and light (muddy on pale hairs) again? I don't say that it is a (muddy) Andrena cinerea identified with any certainty at all, because I know nothing about Hymenoptera - it was just an example. And there are Hymenopterans that use existing holes like structures in walls and it can of course have emerged from such a hole, if t is such a species. But, I still consider it mud in a wide sense.
My first thought on seeing it was that it's been feeding on nectar of Himalayan Balsam - it's notoroius for given them a good dusting. I guess it would come off easily though - although what if the bee was wet with dew? Did you photograph it in the morning? Anyway see -
Thanks everyone! Lots of interest in your answers. Definitly dust and not mud. Not wet, it was a dry and sunny afternoon, unbelievably! as it has rained since here in southern England. Loved the vegetarian mud! Thank you again.