At bay means cornered and forced to face the pursuers. Held at bay, keep it at bay, brought to bay.
Keeping something at bay is the commoner use and means holding it off rather than being cornered by it. The bay in it is the deep howling of hounds that have cornered an animal.
1phraseat bayCornered and forced to face the pursuers.
“The exhausted stag stood at bay against the rocks, facing the hounds.”
at bay is a position.
From bay, the deep howling of hounds that have cornered their quarry.
Built from
From bay (“excited howling of dogs”).
Etymology from Wiktionary, CC BY-SA
Practised in A Song of Ice and Fire