The “g” sound has had an interesting journey in English. It used to be in many words of Germanic origin in English, but the sound changed over time.
It is found in the word “bridge”, where the “g” is part of a “j” sound (like in “judge”). It was originally a “g” sound (like in “goat”) but it changed to a “j” sound about the time of Old English.
It changed differently (or didn’t change at all) in other languages. In Modern Frisian (English’s closest linguistic relative) it is “brêge” where the “g” is pronounced like in English “goat”.
In Dutch, it is “brug” where “g” sound is like the “ch” sound in “loch”. And in German it is “Brücke” where the “g” sound from the ancestor Germanic language evolved into a “k” sound in Modern German.
The “g” sound changed differently in different words in English. “say” was “secgan” in Old English. “cg” was pronounced like “j” in “judge”. This had become “seien” (amongst many other forms) in Middle English which eventually lead to Modern English “say”.
So here the “g” sound just disappeared over time. “say” is related to German “sagen” where to “g” is alive and well, and it is a “hard” g like in “goat”.
A similar thing happened in the word “may” which is related to German “mögen”. The similarity is even closer in one conjugation of the word which is “mag”.
“Ich mag keinen Käse” “I don’t like cheese”.
Words where this also happened are “day” (compare with German “Tag”), “flay” (compare Middle High German “ervlougen”), “lay” (compare with German “legen”) and “way” (compare with German “Weg”)