Now, the Emporia State running back is fast approaching the college football rushing record.
"I hate to be told I can't do something," said Shay, a 5-foot-9, 218-pound senior. "People don't realize how much that motivates me."
Shay is third on the NCAA's career rushing list, behind two other backs who also played in Division II. He needs 106 yards to break Johnny Bailey's career record of 6,320 yards from 1986-89 at Texas A&I (now Texas A&M-Kingsville).
Shay already has 1,522 yards through seven games, an average of 217.4 a game. At that pace, the record will fall when Emporia State (6-1), ranked No. 19 in Division II -- plays Saturday at No. 10 Central Missouri State (6-1).
Then there'll be nobody left to pass. The NAIA career record is 5,724 yards, set by Jojo Jones of Lambeth (Tenn.) College from 1991-94.
"He may get 7,000 yards rushing in his career," Emporia State coach Manny Matsakis said. "That's unheard of. That's just not supposed to happen."
Among those he has passed is the NFL's career leading rusher -- Hall of Famer Walter Payton, who spent 12 years with the Chicago Bears after scoring 464 from 1971 to 1974 at Division II Jackson State.
Shay broke Payton's record with two touchdowns in last week's 63-17 win over Missouri Southern. He has 472 points and needs 56 more to tie Carey Bender of Division III Coe College for the NCAA scoring lead.
Shay doesn't spend much time thinking about his numbers.
"After the game, maybe," he said. "I never think about that during a game."
Shay, whose 14 200-yard games are also an NCAA record, is also dangerous catching and returning the ball. He already holds the NCAA career record for all-purpose yards with 8,378.
"After you score, then you have to kick the ball off to him," Pittsburgh State coach Chuck Broyles said. "He returns the ball 60 or 65 yards and puts them in great field position, and that changes the whole momentum of the game."
Shay has gotten bigger and faster in college. He's put on almost 30 pounds, while taking nearly half a second off his high-school time of 4.8 seconds in the 40-yard dash.
Shay rushed for 678 yards as a freshman, then for 2,103 as a sophomore. Last year he ran for 1,912 yards and 29 touchdowns.
But whenever he scores, he skips the theatrics. He simply hands the ball to an official. That, and his success running the ball, have drawn comparisons to another Kansan, the Detroit Lions' Barry Sanders, a Heisman Trophy winner at Oklahoma State.
But it's tough to compare Shay to anyone, North Dakota State coach Bob Babich said.
"He really has his own style," Babich said. "Our players said he's the hardest guy they ever had to tackle. There's nobody that just sticks out to compare him with, because he's physical but also very fast."
His coach said Shay would get more attention if he played for a small college in the East, such as Gordie Lockbaum of Division I-AA Holy Cross, who was fifth in the 1986 Heisman trophy balloting and third in 1987, or Joe Dudek of Division III Plymouth State, who was ninth in the Heisman balloting in 1985.
But Emporia is a town of about 26,000 tucked into the Flint Hills of eastern Kansas.
But, Matsakis said, Shay has a better shot at something Dudek and Lockbaum didn't have -- a long NFL career.
"I've had players that have played in the NFL, and he's better than most of those guys," Matsakis said. "I can see him being around in 10 years."
The reason, the coach said, is Shay's temperament.
"He's a quiet guy off the field," Matsakis said. "But when he plays, there's a controlled rage about him that really makes him special."