Darn. I had been hoping to visit the humongous Air Force museum there some day.
Well you still can! CMH is still well served by WN and the drive from CMH to the museum is about 1:15 assuming no issues with traffic. (I work just down from the museum.) CVG will be a bit longer drive. Definitely worth a visit - they just added a whole new building to house the Presidential, space and experimental aircraft collection. Also some Wright brothers sites in town.
Disappointed to see WN leave DAY but it's not a shock. Often CMH pricing and schedules are much better (not just with WN) and from my house it's almost as easy to use CMH as DAY, so we usually depart from Columbus.