Born in 1922, Shay grew up in the Bronx and then served as a navigator in the U.S. Army Air Forces in World War II, during which he flew 52 bomber missions.

Shay took well-known pictures of Simone de Beauvoir (nude and portrait) when she visited Chicago to be with Algren.

[4][5] Shay wrote a play about Algren's triangle relationship with de Beauvoir and Jean-Paul Sartre, which had a stage reading in Chicago in 1999.

Shay's What It's Like to Be A ... series of books explained various occupations including a doctor, fireman, pilot, policeman, nurse, teacher, dentist, musician, and a TV producer.

Shay's comedy titled A Clock for Nikita was produced and ran at the Stagelight Theater in Buffalo Grove, Illinois, from April 7 to May 3, 1964.

In 2002, the American Theater Company in Chicago staged Shay's autobiographical play, Where Have You Gone, Jimmy Stewart?, directed by Mike Nussbaum.