The last letter in ἐγώ is omega. It is the long "o" sound, as in "obey." It is transliterated as "o."

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The Greek kind of looks like the English "w," but there is no "w" in Greek.

Did you know? Omega is the last letter in the alphabet. What is the first? Right, alpha. When God says that he is the Alpha and the Omega (Revelation 1:8; 21:6), it means he is the first and the last. To the Hebrew mind, the first and the last letters of the alphabet included all the letters between them. In other words, God is the Sovereign Lord over all events, even the persecutions that were happening to the Christians.