Enevhar Aldarion
Hero
Today, both "fay" and "fey" are Modern English words.
"Fay" means fairy, the equivalent of Middle English, fairie.
"Fey" doesnt.
It is a matter of looking a word up in a dictionary.
In my 40 years of gaming, and longer for reading fantasy novels, I have never seen Fay used for fairy. It has always been Fey, especially when referring to Celtic-type Fairy folk.