Spelling Rule 3 states that English words do not end in I, U, V, or J.
We don't generally think of hi as a true exception to Spelling Rule 3 (like you, I, and thou), since it is a slang term that is short for hello.
However, if you prefer to treat hi as a true English word, then it should be considered one of the 2% that break one of the spelling rules or phonogram sounds. It's fine to teach it this way if you prefer.
The history of "hi"
The interjection hi is hundreds of years old, but originally, the term was used to attract attention or express enthusiasm, not as a greeting. Think "Hi Ho Silver!"
The Oxford English Dictionary notes that the word developed from a natural exclamation — in other words, it was a sound people made to get someone's attention. Eventually the way this sound was described in writing would have become something like a word, and then an actual word. Interestingly, in Middle English it was sometimes spelled hy.
The use of hi to mean "hello," which is how we most often use it today, did not begin until the 19th century.