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The proverb

He that will not when he may, when he will he shall have nay

basically states that one should not be too demanding when it comes to choosing.

According to Wikipedia:

as the ancient proverb proposes

Wikipedia, The Heron and the Fish, 02:07, 16 September 2017

it describes it as ancient but there's nothing I can find that links this proverb to a source of some sort. The footnote only redirects me to this broken link.

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You can see the contents of the link if you visit the Internet Archive, which actually is just a repost of material from the Oxford Dictionary of Proverbs. It's a list of sources, the earliest of which are:

Nu sceal ælc man efsten, thæt he to gode gecerre tha hwile the he muge, thelæste, gyf he nu nelle tha hwile the he muge, eft thone he wyle, he ne mæig [Now shall each man hasten to turn to God while he may, lest if he will not now while he may, later when he will, he may not].
[a 1000 in Anglia (1889) XI. 388]

He that wyl nat when he may, He shal nat, when he wyl.
[1303 R. Brunne Handlyng Synne (EETS) l. 4795]

He that will not when he may, When he will he shall have nay [denial].
[c 1450 in Brown & Robbins Index of Middle English Verse (1943) 186]

As it dates back to Old English, it is fair to say it is an ancient proverb.

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