The Hey Beam is the gun used by Ulala in Space Channel 5 Part 2. (In the first game it is just "chu".) When fired, the Hey Beam shoots out pink hearts. It is activated by pressing the "B" button (Dreamcast version), "D" button (Steam/PC version) or the "O" button (Playstation 2 version.)
"Hey" in dancing mode isn't in the first game, but in Part 2 it is just another dance move like "chu".
"Hey" in shooting mode is used to rescue hostages. In the first game, it is just "chu" like the other beam, but it's introduced as "Hey" in Part 2.