Ray is a Manta Ray that appears in the game Super Mario Galaxy. He apepars in the Loopdeeloop Galaxy. In the Loopdeeloop Galaxy, the Penguins there have a game called "Manta Ray Surfing" which is basically just surfing on a Manta Ray.
When Mario came here, he decided to surf on a Manta Ray. The Manta Ray that Mario got to surf on was named Ray, according to one of the penguins in the galaxy. Mario surfed on Ray and was able to then get a Star.