Although "Cay" is properly pronounced "Kee", be aware that you'll hear people mispronouncing it the entire time you're on your cruise. And these people will not be convinced that they're wrong. It's like convincing someone whether or not the "t" in "often" is pronounced.
Here's a link to the story about Castaway Cay that iluvorlando mentioned:
GET UP TO A $1000 SHIPBOARD CREDIT AND AN EXCLUSIVE GIFT!
If you make your Disney Cruise Line reservation with Dreams Unlimited Travel you’ll receive these incredible shipboard credits to spend on your cruise!