I am distantly related to this line. Some of the confusion is between the Gay families of the Shenandoah valley area (the Calfpasture Gays, many of whom migrated early to Kentucky) and the descendants of William Gay and Elizabeth Bolling (none of whom - to the best of my knowledge - migrated to Kentucky). All evidence points to these being two separate and unrelated family groups. That includes genealogical evidence (the descendants of William Gay and Elizabeth Bolling are well-documented) and DNA evidence as provided by descendants of both lines.
However, the Calfpasture Gays were a large family group and although they all appear to be related to some extent, it's a bit challenging to sort them all out as they shared so many names. I've been researching them for a number of years and have made some progress but for your line I only show back to James Gay and Jane Warwick as parents of John Gay. In my opinion, James (b. abt. 1710 d. 1779) was the likely immigrant and probably born in Ulster near Londonderry, so you would have to find him records there to get back much further. It's possible that his father was William Gay who died in the Calfpasture in 1755, but it seems unlikely. I would be interested to know if you find more about him though. Please feel free to contact me at leegay @ comcast.net