In an Instagram photo shared Saturday by Davies, the couple enjoyed a sweet moment together on the beach, with Davies holding the Vanderpump Rules star, 35, in his arms as his back was turned away from the camera.
Davies wore a speedo for the photo-op, while Shay could be seen wearing water shoes as she smirked at the camera.
"She has my back and I have Hers," Davies captioned the post.
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Davies' post comes just one day after Shay revealed on her Scheananigans podcast that she suffered a miscarriage after a "miracle" pregnancy.
"I didn't think that I could get pregnant on my own. My AMH levels, for those of you who know what they are, were 0.28. That's basically your fertility levels, and that tells you your egg count. I have very low ovarian reserve," explained Shay who previously opened up about freezing her eggs.
Shay said that she and Davies were shocked by the positive pregnancy test results and told close friends and family. She even planned a special Father's Day surprise for her dad, to tell him the good news.
However, their celebrations soon turned to tragedy, starting with the Bravo star "bleeding all weekend, and it wasn't stopping."
Shay and her boyfriend went to the doctor — on Davies' birthday — and got mixed results from her blood tests: While her HCG (pregnancy hormone) "went up significantly," it wasn't "doubling or tripling as it should," and her "progesterone dropped significantly."
The bleeding stopped after Shay went on progesterone supplements, and that, plus some research of her own, helped her hold "on to that little bit of hope" — until she went in for an ultrasound, when the doctor discovered "there was no heartbeat" and "nothing progressing" or "growing inside" her uterus.
"There were parts that he could see where [the fetus] was starting to form and it just didn't," she explained. "So obviously, [it was] just devastating. We were so excited. To be excited for a few weeks and then it's gone so quickly. It's still been a lot to process."
"Now I'm at home and I'm just waiting to naturally miscarry," Shay added, through tears. "I have to go back to my doctor this week so he can do another ultrasound. Because now I'm just literally sitting here waiting, feeling normal but still treating my body as if I'm pregnant, which is a complete mindf— because I know there's nothing progressing but there's still something there and I haven't passed it yet."
Shay said she is returning to her doctor on Friday to see "what the next steps are," whether it's taking a pill to stimulate passing the tissue, a dilation & curettage surgery or something else entirely.
"I wanted to put this out because a miracle did happen, and I got pregnant for the first time in my life," she said of the reason she's sharing her story. "And although this one isn't working out and we don't know yet what's exactly gonna happen, I know that I was able to get pregnant on my own, and that alone is a miracle. And I know that this is something that's common, that so many women go through."