Of English origin.
From the Middle English word “faie”, meaning fairy.
It may also be a short for Faith.
Fay has been used as a given name since the 19th century.
It was a popular name in the U.S.A. in the early decades of the 20th century.
Variants: Faye, Fae, Fey.
Famous bearers are Fay Ripley, Fay Masterson, Fay Wray.