Something that doesn't fucking exist. End of.
Person 1: "That girl I hooked up with left me with blue balls last night."
Person 2: "But they don't exist idiot."
An abbreviation of the expression: Oh my fucking God what the Hell are you doing? Usually used with sudden shock or surprise.
Example 1:
Friend: *Starts wambleing all over the table*
Me: OMFGWTHAYD?!
Example 2:
Me: *Yeets a fetus and commits self deletus*
Friend: OMFGWTHAYD?!