Who Dey is a Cincinnati Bengals chant!
Who Dey is also the name of the mascot for the Bengals, if you ever catch him on tv or at a game. The whole chant goes something like this, "Who Dey, Who Dey, Who Dey think gonna beat dem Bengals." Then the answer to the chant is "nobody!" Not sure when it originated, I think sometime in the 80s.
Oh and I looked it up and found out that the Saints chant, "Who Dat", not "Who Dey". Hope that helps ya out!