É is called (in French) E accent aigu s in an accentuated E, it has a real close pronounciation to ay but slightly different,
You see the é is pronounced like AY but while pronouncing it don't say the Y part but pronounce the A as if you're going to pronounce the Y if you know what I mean, I'm bad at explaining it, I tried.
It's not the first time people use other languages' words for their own, in my country we use "merci" (thank you) most of the time instead of our actual "shokran"