I will add spey, speyed and speying, as the word is in the Oxford, and is in current use, although not nearly as much as spay. (A Google search on "speyed" gets about 16,000 hits, compared with about 2,000,000 for "spayed".)
As no Australian forumites have commented, I assume they concur with the responses from R_M, T and birdy. So my theory that the spey spelling is less rare here is looking a bit weak. It seems to be a minority preference in Australia and the UK, and perhaps not used at all in the US. And other words, like desexed, neutered or done are probably used more often than either spelling of spay / spey.