Shay feels at once vintage and modern. This is one case where the phonetic Shay may be preferable to the more authentic Shea or Shai. Ditch all the girly forms -- Shayla, Shayna, and so on -- and go for this stronger, more straightforward name.
Shay, character from The Uglies Series
Shay VanBuren, character in YouTube show "The Most Popular Girls in School" Leslie Shay, character on TV's "Chicago Fire" Carly Shay, main character on TV's "iCarly"