Jay acted, wrote, and directed radio plays on the South African Broadcasting Corporation's first commercial radio station, Springbok Radio (1950–85). He was especially associated with the comic series Taxi! (1969-1972,1975-1978), in which he not only portrayed New York cabby Red Kowalski, but also co-wrote many scripts with Joe Stewardson. Other shows in which he was involved included Lux Radio Theatre, Playhouse 90, and Tuesday Theatre. Jay adapted, cast, and directed the first 6 months of episodes for The Avengers. The series, based on Seasons 4-6 of the 1960s British television series of the same name, was broadcast on Springbok from 6 December 1971 to 28 December 1973. To bridge the gap between the visual orientation of the British television series and the sound-only perspective of radio, Jay created a narrator which he embued with irony and scepticism.