Learn Spanish (Spain): Hay una cucaracha en la sábana. ¡Vaya pesadilla! - There is a cockroach on the bedsheet. What a nightmare!

Both mean "What a nightmare!", but vaya often adds a stronger emotional reaction, like surprise, sarcasm, or dismay. You use vaya followed directly by a noun to make a strong exclamation.

Does vaya change its ending if the noun is masculine or plural?

No, when used in exclamations like this, vaya is an invariable word. Even if you were talking about masculine or plural things, like ¡Vaya bichos! (What bugs!), it always stays as vaya.

Why is it Hay una cucaracha and not Está una cucaracha?

We use hay (there is/there are) to state that something new exists, usually with indefinite articles like una (a/an). You would only use está to talk about the location of a specific, known thing, as in La cucaracha está en la cama (The cockroach is on the bed).

Why use en for "on the bedsheet"? Doesn't en mean "in"?

The preposition en is very versatile in Spanish and doesn't just mean "in". It can mean "in", "on", or "at" depending on the context. Here, it naturally translates to "on" because the bug is on the surface of the bedsheet (la sábana).

Is the word vaya here related to the verb (to go)?