Tigers scored two tries through Dan Hipkiss and Sam Vesty, which were converted by Julien Dupuy, to lead 14-0 at the interval.
It laid the foundation for a win that took Tigers to a fifth successive Guinness Premiership Final, and man-of-the-match Kay said: “I think that was our best 40 minutes of the season so far.
“We bombed a couple of chances whereas if we just held onto the ball one phase longer we would have gone over and maybe put the game out of sight.
“Bath showed what a great side they are by coming back in the first period of the second half and possibly giving our supporters the jitters over another penalty shoot-out!”
Kay praised the Tigers coaches and backroom staff after the team followed up Sunday’s dramatic Heineken Cup semi-final win over Cardiff by securing a second final appearance in the space of six days.
He said: “We said at the beginning of the week that it was just going to be other people that were going to say we would be heavy-legged.
“We play tough games in this competition every week. We might have had an extra 20 minutes but we train hard in the week every week.
"We might have tapered our training this week to make sure we were fresh and fair play to the coaches, they got it spot on again.”