欧博allbetDo interjections like “but hey” have comma
According to Genius, the lyrics to the Beatles' song Hey Jude (no comma) invariably contain a comma between 'hey' and 'Jude'.
[Verse 1: Paul McCartney]
Hey, Jude, don't make it bad
Take a sad song and make it better
Remember to let her into your heart
Then you can start to make it better
[Verse 2: Paul McCartney, John Lennon, George Harrison]
Hey, Jude, don't be afraid ....
Vocatives (in the 'words of address' sense) are usually set off by a comma ("Hello, Jill." / "Let's eat, Jack." / "Hey, son, why don't you and ....")
But the no-comma version of the title strongly suggests that even this rule is not sacrosanct.
When it comes to pure pragmatic markers where a comma would not be impossible:
Oh[,] well,
But[,] hey,
Ah[,] yes ...
there is a genuine choice. Ugly comma clutter in the written form and especially excessive pauses do, as you suggest, argue against the inclusion of the comma. But many would say it depends merely on whether the writer wants to signify (or the speaker used) a pause / pauses in the two-part / three-part parenthetical.
Well, well, well
is sometimes (and probably increasingly, since the Lennon number) used without the commas.