They didn't. If you look it up, who dey was the slogan a local beer company (Hudepohl) came up with years before the saints started saying who DAT. The Hudepohl beer sellers would walk up and down the stands saying "Hudy" short for the company name, so the fans would call out who dey to get the beer mans attention. Although who DAT was said in New Orleans for a long ass time, but had no association with the saints until years after the Bengals.