Used to express extreme astonishment, surprise, shock or incredulousness. Has it's orgins in the Persian community of Great Neck, New York. Although it is not recognized as an offical Persian expression, it is used mostly by first & second generation Persian-Americans who combined English expressions with Persian enunciations; a "Spanglish" for Farsi speakers if you will.
See also Voy
Benny: "Hey Zadeh, did you see the ass on that Chic"?
Zadeh: "Vai! I'll catch up with you guys later"
Zadeh: "Yo Benny, I banged that chic last night, what do you think of her"?
Benny: "You mean the one with the pancake ass, flapjack titties, and five o'clock shadow? VAI!