It hadn't occurred to me to pronounce it other than 'Gway', Joe, as 'Guay' is a colloquial word in Spanish, maybe just in Spain, though. It means 'cool', 'great', and is one of the most commonly used terms of approval, satisfaction or assent in everyday speech.

Kind of the equivalent of 'chévere' in many Latin American forms of Spanish.

So it's (literally) a cool name to have in Spain - though could also lead to a degree of confusion.