I saw many times thy used instead of the, so why is that? When should I use it? What is the pronunciation of thy?
From the Bible (Christianity.SE)
Thou shalt love the Lord thy God with all thy heart, and with all thy soul
And here on ELL.SE
“I tell thee, Brother Nicodemus, thy offences are numberless as the weeds which grow by the way-side. Here be many who have much to say of thee : —speak, Brother Ulick!”
—William Clarke, Three Courses and a Dessert, 1830
Thy is not related to the. It is a possessive form of thou, which is, in turn, an archaic form of you (singular).
So, thy simply means your. Don't use it yourself unless your intent is making your speech outdated.
Deny thy father and refuse thy name
-- Romeo & Juliet
I like the following quote, but don't treat it literally!
If the Lord would show thee but this one thing, -- that to use "thee" and "thou" to a particular person is proper language, and Scripture language; and that to say "you," is improper, and arose from pride, and nourisheth pride, and so is of the world, and not of the Father; and thou should bow thy spirit to him in this one thing, thou little thinkest what a work it would make within thee, and how strongly the spirit of darkness would fight against thy subjection thereto.
-- Isaac Penington, 1670.
As a good further reading I would recommend Wikipedia article.
Also, there are some usage examples in "Thou, Thee, Thy, Thine & Ye: Shakespearean English".
Thy, which is an archaic or dialect word to say your, is nowadays used in certain religious groups and some traditional British dialects.
As English learner, you should not usually use it.
The th part is pronounced as in this; y is pronounced as in my. The IPA pronunciation of thy is /ðaɪ/.
Thy is the possessive form of the second person singular pronoun. Its various forms are, as the subject: thee; object: thou; possessive: thine, thy; and reflexive: thyself.
The second person singular pronoun has fallen out of use in most English-speaking communities since the eighteenth century. As in several other languages, the forms were used in informal settings or when the person addressed was familiar. As class distinction became represented more by one's manners and customs, speech became more formal and use of the second person plural superseded use of the singular.
Thankfully, the same didn't occur for use of the first person plural.
The Lord's Prayer in Old English with translation into an archaic English
[1] Fæder ūre þū þe eart on heofonum,
Father of ours, thou who art in heavens,
[2] Sī þīn nama ġehālgod.
Be thy name hallowed.
[3] Tōbecume þīn rīċe,
Come thy riche (kingdom),
[4] ġewurþe þīn willa, on eorðan swā swā on heofonum.
Worth (manifest) thy will, on earth as also in heaven.
[5] Ūre ġedæġhwāmlīcan hlāf syle ūs tō dæġ,
Our daily loaf do sell (give) to us today,
[6] and forġyf ūs ūre gyltas, swā swā wē forġyfað ūrum gyltendum.
And forgive us our guilts as also we forgive our guilters[22]
[7] And ne ġeled þū ūs on costnunge, ac āles ūs of yfele.
And do not lead thou us into temptation, but alese (release/deliver) us of (from) evil.
[8] Sōþlīċe.
Soothly (Truly).
You can read this in a better layout in en.wikipedia, Old English (far down).
