What the Hay?
Same as "what the hell" or "what the heck." Hugely popular in Britain. Hay is not a cuss like hell, its more on the level of heck. negative connotation.
What the Hay?
What is wrong with you?!
or
What the Hay are you doing?!
What is wrong with you?!
or
What the Hay are you doing?!
What the Hay Neigh
A common phrase used when one feels a feeling of strong bewilderment. While "What the Hay Neigh" originated from equestrian roots, it is now used far and wife outside of the field, a phrase known to all.
Person 1: I despise horses! They are some of the worst creatures known to man.
Person 2: "What the Hay Neigh"!?
Person 2: "What the Hay Neigh"!?