Please explain "'Say Hey' Kid" to me

I don’t describe myself as a baseball fan but as a Braves fan (and have since that was the punch line to a joke), so there’s a lot of things about the game I don’t understand. One of them is Willie Mays’ moniker “The ‘Say Hey’ Kid.”

Did he say “hey” a lot? Did he say “say hey” a lot? I just don’t get it, and I know most baseball nicknames have pretty simple explanations. Help?

Sportswriter Barney Kremenko claims he coined the nickname in 1951:

That is my understanding; he never remembered anyone’s name and just said “say, hey.”

Could have been worse, I reckon.