Я вышел так

private int rowEdit;
private int colEdit;
.......
colEdit = -1;
rowEdit = -1;
EditingControlShowing += NewDataGrid_EditingControlShowing;
SelectionChanged += NewDataGrid_SelectionChanged;
.......
private void NewDataGrid_SelectionChanged(object sender, EventArgs e)
{
if (colEdit == -1) return;

var c = colEdit;
var r = rowEdit;
colEdit = -1;
rowEdit = -1;

CurrentCell = this[c, r];
}

private void NewDataGrid_EditingControlShowing(object sender, DataGridViewEditingControlShowingEventArgs e)
{
if (CurrentCell.EditType != typeof(DataGridViewTextBoxEditingControl)) return;

rowEdit = CurrentCell.RowIndex;
colEdit = CurrentCell.ColumnIndex;
}