The name MacKay is from Scots Gaelic mac aoidh "son of the fiery one", from mac "son" and aodh "fire". (mac is from Proto-Celtic *mak-wo-s "son", perhaps from PIE *meh₂ḱ- "long, thin", as in meager and macron.) It seems likely to me that aodh is derived from Old Irish aed "fire", which is perhaps from Proto-Celtic *aydu- "fire" - the etymological lexicon of Proto-Celtic says "It is uncertain whether the British forms belong here, because the vocalisms are aberrant".
*aydu- is from Proto-Indo-European *h₂ei-dʰ-, an extended form of *h₂ei- "to burn" (AHD).
*h₂ei-dʰ- became Greek αἰθήρ aithēr "the upper air", then Latin æthēr, Old French éther, English ether. It was originally used in English to mean "clear sky" or to refer to the substance believed to permeate space.