Derivation
According to etymologist Douglas Harper, the phrase is derived from Yiddish and is of Germanic origin. It is a cognate of the German expression Oh weh, or Au weh, a common expression used in Bavaria and Austria in similar situations, combining the German and Dutch exclamation Au! meaning "Ouch/Oh" and the German word Weh, a cognate of the English word woe (as well as Dutch wee meaning pain). The expression is also related to Oh ve, an older expression in Danish and Swedish, and Oy Wah, an expression used with a similar meaning in the Montbéliard region in France.
Alternative theories for the origin of the Yiddish expression have been proposed at various times. The word oy has been hypothesized as stemming from Biblical Hebrew, with cognates in other Semitic languages. In the JPS Hebrew-English translation (pg 667) 2 Samuel 12:14 states oy vey (translated: my enemies) the phrase is intended to avoid saying "spurned the Lord", instead it says "spurned the enemies of the Lord". cf. note d-d at 1 Samuel 25:22
Read more about this topic: Oy Vey