Blay was born in Liberia in 1980. During the Liberian Civil War, Blay worked as a rubber tree tapper in one of the largest rubber plantations in the country. He escaped to Ghana and lived at a refugee camp. During his time at the camp, he began his acting training by performing in improvised "street dramas". After the war, he acted in Liberian film and theater productions. Blay also worked in a parking lot in Monrovia when not acting.