Vay is the story of Prince Sandor of Lorath, and his quest to avenge the assassination of his parents and rescue his beloved Lady Elin. On what is to be the day of their wedding, Castle Lorath is assaulted by the Danek, who have been able to partially reconstruct alien mecha technology from a millennium ago. The castle defenses are powerless against the giant robots, and the king and queen are killed in the attack. The invaders steal Elin in the midst of her wedding vows. Prince Sandor, now the king of the realm, sets out to rescue his betrothed, and find a way to defeat the fearsome alien technology.

The game is a thoroughly "old-school" Japanese-style RPG, meaning that the focus of the game is on fighting random enemies in turn-based combat, gaining experience and gold in process, without any additional gimmicks. The characters come with pre-set "classes" (wizard, bard, etc.), and learn their own abilities/magic spells automatically as they level up.