Little is known of his background, although Constant von Wurzbach suggests he was the son of Adam Vay and his first wife Christine, Baroness Pongratz. As a young man, he joined a Hussar regiment and served in the Seven Years' War as a cornet in the Töröl Hussars, and during this period, which tested his courage and leadership, was promoted to "Rittmeister", or captain of Hussars. At the outbreak of the French Wars in 1790, he was colonel of the Esterhazy Hussars N. 3, and on 26 July 1792, he led two of the regiments at Longwy against the advanced guard of the French, including General Lafayette, and pushed them back to Luxembourg. In the following year, he participated in the Battle of Neerwinden, then at Maubeuge. He received command of the forward post in Luxemburg.