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.
ShayVanBuren, main character in the YouTube series "Most Popular Girls in School"
Shay, character from The Uglies Series
LeslieShay, character on TV's "Chicago Fire"
CarlyShay, main character on TV's "iCarly"