The Bengals fans say Who Day(or Dey) while the Saints fans say Who Dat!, so I guess the Bengals fans said "who day" first. But as for who started the chant first, it's been said that Who Dat! came first and that it didn't start with the Saints but with another school team in Louisiana. But a lot agree that it started in the south and not anywhere else because of the orgin of speech.
Both "Who Dey" and "Who Dat" are grammatically incorrect, but seeing as people in Louisiana actually use who dat in everyday speech and not just in a chant;
Example: Who dat said dat?, or Who dat at da do',or Who dat supposed to be?
as opposed to people in Ohio using who dey only in their chant, it can be said that it most likely started with the southern state Louisiana. It's just more natural.
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