Here's why:
* Interjections are words or phrases that express strong emotion or feeling. They are often used independently from a sentence and stand alone.
* Pronouns replace nouns (e.g., he, she, it, they).
* Nouns are words that name people, places, things, or ideas.
* Conjunctions connect words, phrases, or clauses (e.g., and, but, or).
"Hey" doesn't fit any of those other definitions. It's a word used to get someone's attention or to express surprise, excitement, etc.