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I am real glad the original poster and his animals are ok! And my sympathies for what you've lost.
Hay fires are a common way to lose a barn, but the usual scenario involves hay put up too 'green' (wet) or stored too tightly stacked (or too poorly ventilated) while curing. Newly baled hay will heat up for something like 4-6 weeks after baling as it cures, and if stacked in a big solid mass w/too little ventilation to the inner bales it can catch fire from its own heat.
I have a LOT of trouble believing that could be the case here, though, as it's been so long since baling (and in cool weather to boot).
A big stack of fairly freshly baled hay that gets wet from (e.g.) a roof leak can heat up pretty bad, too -- I have not heard a case of it starting a fire but it very well might in thw wrong circumstances.
If someone has just a few bales of hay, though, this is not something to worry about - I've never heard of anything less than a, 8' pile or so, minimum, heating up too badly even if pretty wet.
Unfortunately, the thing that's even more common than hot hay as a cause of barn fires is electrical issues, which includes heat lamps, heat tapes, extension cords, overloaded circuits, and faulty or damaged wiring.
Which are things to worry about even for the small backyarder.
Pat