Here are a few options, depending on how you want to approach it:
* Use a similar-sounding Thai name: You could use a name that has a similar sound or feel, like "ชัย" (Chai) or "ชยา" (Chaya). These names mean "victory" or "triumph."
* Transliterate the name: You could transliterate "Shay" phonetically, which would be something like "เชย์" (Chey). This might not be the most natural sounding, but it would be the closest to the original pronunciation.
* Use an alternative spelling: You could use a spelling that is closer to Thai pronunciation, such as "เช" (Che), which is pronounced similarly to "Shay".
* Introduce the name as a foreign name: You could simply introduce "Shay" as a foreign name, using the original spelling.
Ultimately, the best way to say "Shay" in Thai depends on the context and your personal preference.