Rekall: The spelling "Fai" comes from the romanization of Fai's name. In Japanese, his name is written with the characters "Fu-a-i" with the "a" small. When there is a small character immediately after a regular sized one, it's sound takes the place of the previous characters' ending sound. (Changing "Fu" to "Fa," in this case.) Which makes the romanization "Fai."
Wow, I made that sound way more complicated than it actually is.. Sorry, I suck at explaining things like that.. ^_^;;;
Ah, thank you. That does make sense. ^__^