Paatelainen is reportedly favourite to succeed Stuart Baxter as Finland boss.
Paatelainen recently turned down an move from Championship side Scunthorpe United.
“It shows you the good job the manager has been doing as he’s been linked to these jobs but I hope for our sake we can hold on to him for a bit longer,” explained Hay.
“Hopefully nothing comes of it but if it does then he fully deserves it. That’s what happens when a manager or player does well – they get linked with moves.
“A lot of our players have been linked with other clubs as well. That’s the price you pay for a bit of success.
“What a difference a year makes. Last season we were in a relegation battle and while there is always pressure when you are playing, it’s totally different as we’re looking to finish as high up the league as we can.
“We’re more or less secured in the top six but we want to win more games. The manager has been the biggest part of that as he’s done a fantastic job.
“He hasn’t said a word about the Finland job, all we’ve been focusing on is our trip to take on St Johnstone on Saturday.”
