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I'd go with Shae because it looks more feminine. Shay would work for a girl, but I think it seems more masculine. I prefer the name for a boy in general.

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I like Shea, but I used to go to school with a Shea, and people called him SHEE-a by mistake. Shea isn't that complicated of a name, and people can catch on, but if you'd like to avoid pronunciation problems, go with Shae or Shay.