We report the discovery of an unbound hyper-velocity star, US 708, in the Milky Way halo, with a heliocentric radial velocity of $+708\pm15$ ${\rm km \, s^{-1}}$. A quantitative NLTE model atmosphere analysis of optical spectra obtained with LRIS at the Keck I telescope shows that US 708 is an extremely helium-rich (NHe/$N_{\rm H}=10$) subluminous O type star with Teff = $44\,500$ K, $\log g=5.23$ at a distance of 19 kpc. Its Galactic rest frame velocity is at least 751 ${\rm km \, s^{-1}}$, much higher than the local Galactic escape velocity indicating that the star is unbound to the Galaxy. It has been suggested that such hyper-velocity stars can be formed by the tidal disruption of a binary through interaction with the super-massive black hole (SMBH) at the Galactic centre (GC). Numerical kinematical experiments are carried out to reconstruct the path from the GC. US 708 needs about 32 Myrs to travel from the GC to its present position, less than its evolutionary lifetime. Its predicted proper motion $\mu_\alpha \cos{\delta} = -2.3$ ${\rm mas\,yr^{-1}}$ and $\mu_\delta = -2.4$ ${\rm mas\,yr^{-1}}$ should be measurable by future space missions. We conjecture that US 708 is formed by the merger of two helium white dwarfs in a close binary induced by the interaction with the SMBH in the GC and then escaped.