To feel edgy is to be nervous, on edge, or tense. It may imply movement, i.e., that you are jittery, jumpy, restless, or skittish.
A slang term (or perhaps a buzz-word) meaning daring, provocative, or trend-setting. Probably comes from 'on the cutting edge'. Often used to describe art.
In the UK, and perhaps other places, edgy means not safe, subversive, challenging, or unsettling.
In the UK/Scotland, it is a verb meaning "run!" 'To keep edgy' is to keep lookout; the lookout will yell "edgy" if there is any trouble.
On a sound track, especially a piece of music, 'edgy' means it has too many high frequencies, giving it a trebly sound. It might also refer to a sound with harmonics which are too strong relative to the fundamentals, resulting in distortion or a raspy sound.
You may also be looking for Edgie (AKA Ejji), a derogatory term referring to a poor person.