I have never heard anyone say "regex" with an /eɪ/ sound like "RAY". It's /ɛ/ like in "meh", or indeed the first syllable in "regular". (though "regex" has a "soft g" /dʒ/, not a "hard g" /g/ like in "regular").
Could it be an accent thing? Trying to learn foreign language pronunciation as a New Zealand English speaker is frustrating; I should not be pronouncing 에 as the vowel in “bed” the way I say the latter, but that’s what every description of it says.
I pronounce it as a portmanteau of regular and expression, and will continue to do so despite any corrections ;)