Where does “अय” come from?

अय (Sanskrit) comes from Sanskrit इ, from Proto-Indo-European h₁éy- — he, this.

Ancestry of “अय”, step by step

Step	Language	Word	Meaning
1	Sanskrit	इ	to go
2	Proto-Indo-European	h₁éy-	he, this

अय — Etymology, Origin & Word History | Etymology Explorer