Mentioned in Pyramids, Yay is a Djelibeybi Sun god. The Sun is his eye, searching for his lost toenails. This knowledge comes from The Book of Staying in The Pit, perhaps reflecting the opinion of humans viewing Yay's situation - "Will you just give up already?!?" (See the annotation in The Book of Staying in The Pit for clarification.)
"Yay" is also a slang word in North American English, used as an exclamation of pleasure, approval, elation, or victory, or as an adjective conveying the meaning of "very" or "extremely". (An alternative spelling of "yea", now falling out of use but formerly used in the context of "that was yea good") The Urban Slang Dictionary notes it can be used simply to express happiness or contentedness.
(It may be worth quoting the Beatles' Here Comes The Sun King here - "everybody's happy; everybody's laughing: everybody's smiling")