From the experts:
Fay, also spelled Faye, who had been napping quietly since the 1930's, has, like cousins May/Mae and Ray/Rae, sat up and started rubbing her eyes, ready for a mini-comeback, especially as a middle name. In 2014, Faye hopped back onto the US Top 1000, though Fay is used much more quietly as a first name.
The original of the name, Morgan le Fay, was a powerful sorceress in the Arthurian Legends. Two prominent Fay W.'s are the British novelist Fay Weldon, and actress Fay Wray, most famous for sitting in the hand of King Kong, and there is a character named Fay in Nathanael West's The Day of the Locust. Most well-known Faye is actress Dunaway.
Fay was most popular in the U.S. in the early decades of the twentieth century, reaching Number 202 in 1907, while Faye was Number 146 in 1934.
Fay may also be a short form of Faith.