GRO-seq captures the pieces of _RNA_ that are being generated by active RNA polymerase. Think of it as if you were retrieving (parts of the) RNA molecule as it comes out of the copy machine that is RNA polymerase. That means that most sequences will indeed correspond to gene regions (including introns, though!), but in contrast to normal poly(A)-enriched mRNA-sequencing you will mostly have captured incomplete transcripts.

As Kevin pointed out, your mix of transcripts will include RNA molecules that were being produced outside the gene loci or from intronic regions, which are often thought to correspond to enhancers.

GRO-seq, global run-on sequencing, captures sites of active transcription where RNA polymerase is bound to DNA. The region of DNA where the polymerase is bound will be sequenced by next generation sequencing. The way that this can be used to infer the location of an enhancer RNA is based on the genomic location:

Enhancer regions, i.e., regions from which enhancer RNAs are transcribed, are found in intergenic regions up- or down-stream of the target gene's transcription start site (TSS), and expression at these regions can modify ['enhance'] the expression of these target genes. Thus, the binding of RNA polymerase at a region assumed to be an enhancer adds to evidence that it may indeed be an enhancer region.

Note that the genomic locations of enhancer regions can also be inferred by the presence of H3K27-acetylation marks.

GRO-seq is one of the methods recognised as being capable of identifying enhancer regions:

• Reverse transcription-PCR (RT-PCR)
• RNA fluorescence in situ hybridization (RNA-FISH)
• RNA polymerase II chromatin immunoprecipitation coupled with
• high-throughput sequencing (RNAPII ChIP–seq)
• Global run-on sequencing (GRO-seq)
• 5′GRO-seq or GRO-cap
• BruUV-seq
• RNA-seq (total)
• RNA-seq (poly(A))
• Cap analysis of gene expression (CAGE) followed by deep sequencing
• Chromatin- bound RNA-seq
• RNA-Seq in isolated 'transcription factories'
• Native elongating transcript sequencing (NET-seq)
• RNA capture sequencing (CaptureSeq)
• Chromatin isolation by RNA purification (ChIRP-seq)

[source: http://www.nature.com/nrg/journal/v17/n4/fig_tab/nrg.2016.4_T1.html]

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Further reading:

• Nascent RNA sequencing reveals widespread pausing and divergent initiation at human promoters.
• Enhancers as non-coding RNA transcription units: recent insights and future perspectives
• GRO-seq, A Tool for Identification of Transcripts Regulating Gene Expression