I'll wade into the murky waters of "parts of speech" and suggest that it's an interjection that either expresses surprises or is intended to call attention to what you're about to say. Here you could even replace it with "Wait a minute" or "Hold on there."
It's along the lines of "Hey" except that "Hey" is often shorter and sharper -- Hey, what are you doing? Hey, what's going on there? -- whereas "Say" is slower and more contemplative -- Say, we may have just unearthed an unknown tomb.