I know boys and girls named [name_u]Shay[/name_u]/[name_u]Shea[/name_u]. I like the [name_u]Shea[/name_u] spelling best and strongly prefer it as a standalone name.
There are many of longer names such as [name_u]Cheyenne[/name_u], [name_f]Shayla[/name_f], [name_f]Shaina[/name_f], [name_u]Shannon[/name_u] that could have [name_u]Shay[/name_u] as a nickname.