Say meaning 'that’ is described by Holm & Shilling (1982: 176) as "introducing subordinate clauses after verbs of perception, etc.; rare in Nassau“ (i.e., the Bahamian capital). That may even be rarer and appears to be restricted to more acrolectal speakers.
Source: Holm and Shilling 1982: 176
Source: Holm and Shilling 1982: 176
Source: Holm and Shilling 1982: 176