The right way to say that is "¡Ay, qué pecado! ¡No puede ser!" (it is ironic). That means "Oh, what a sin! it can't be!", in the second part you would say "No way!".
"Hay" means, "there is" or "there are."
"There is" or "there are".
There is thunder
"It is sunny."
Where is one?
It means: There are clouds.
That is Spanish for "There is a girl".
It means "There is no lifeguard."
Perhaps you mean "hay". (The "h" is silent). This means "there is" or there are'"
it means: there is a problem
There's a tornado.
it means: there is wind