I won't go into all the detail I did on another post a few nights ago but, if stalks are preferable to shavings for handling or other reasons, use straw, not hay.
Straw is a bedding. Hay is a feed.
Straw is what is left over after a small-grain plant has matured, leaving the stalks dry and depleted after carrying all the nutrients from the ground to the grain head. It makes for a VERY poor feed, if you can even find any creature that will eat it. But, being stalks, it does fluff up like hay and can make an excellent bedding that all manner of creatures can burrow into or rearrange/fluff up to their own liking and comfort.
They can do the same with hay, if they don't find it palatable, but hay is cut while the plant is still growing at its peak for nutrients in the stalks and grain heads. At that point, it is also full of water. Once cut, it begins to decay as the remaining moisture and sugars/starches . . . interact without either being renewed from the roots. The best hay for feed purposes will be that that can be dried quickly and baled. The baling removes all but the outside of the bale from exposure to air, slowing considerably the process of decay until the bale is opened for feeding, at which point it will be eaten before it decays much further.
Left out uneaten, the decay will begin again. So there's one opening for mold to start. Add moisture to it, and it will decay more quickly, as the nutrients are still there, and if dense enough, (packed, for instance, under the feet of the flock) it will mold.
Keeping it dry? That's more than keeping the rain off of it. Chicken droppings (my niece used to call them cackledoodles after being scolded for using a more common barnyard term just once) are heavy on moisture and have all manner of nutrients and chemicals in them that can serve to accelerate the decay/mold challenge, as their moisture soaks into the hay, which will readily absorb the moiture to continue it's own self-digestive chemistry.
To my mind, bedding with hay is about as efficient as bedding with the shavings your neighbor cleaned out of his own coop.
Again, if, like Stephanie, you find a bedding of stalks easier to handle than shavings, or prefer the fluff/bulk of that kind of bedding for its potential warmth, straw will be a far better choice than hay.