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".
"It is sunny."
There is thunder
It means: There are clouds.
Where is one?
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'"
There's a tornado.
it means: there is a problem
it means: there is wind