Lizard,
The O’ and Mc prefixes in Irish names are detachable and were often dropped. O’Fay is pretty well unknown in Co Antrim but there were a number of Fay/Fea families, mostly RC. I assume your ancestor was RC. Chances are your ancestor is likely to be in the records in Ireland as Fay or Fea.
You have your ancestor as coming from “Glenarm, Ballymena.” These two places are about 20 miles apart. Birth registration didn’t start in Ireland till 1864. Prior to that you have to rely on church records, where they exist. Glenarm RC parish only has records from 1825 and Kirkinriola (Ballymena) RC parish has them from 1848. So if James comes from either of those parishes and is RC, then there is no record of his baptism to be found.
The tithe applotment records list farmers in Ireland around 1830. Fay/Fea was not common in Co. Antrim as I mentioned and there were only 4 farmers in the county. None near Glenarm but Ballycraigy is on the outskirts of Ballymena so that Hugh Fea might perhaps be a relation.
Fay, Bernard-Townland: Magheralane Year: 1834-Drummaul -Antrim
Fea, David-Townland: Mullusk Year: 1833-Templepatrick-Antrim
Fea, Edwd.-Townland: Gallagh Year: 1833-Duneane-Antrim
Fea, Hugh-Townland: Ballycraigy Year: 1825-Ballyclug-Antrim
You mentioned that there was no requirement for passenger lists on arrival in Canada in the 1830s. Likewise there was none required leaving Ireland, so we don’t have any here either.
Possibly DNA testing may be a way of matching with others who have additional information about where the family originate. Family Tree DNA reportedly has more people with Ulster roots than any other company. That obviously increases the chances of finding a match. You might want to try them or, if you have already tested, you can transfer your results to them for no fee.
The North of Ireland Family History Society is running an Ulster DNA project in conjunction with FTDNA and can offer testing kits at a reduced price. http://www.nifhs.org (Go to DNA project on the website).