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?!
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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"!?