Could you explain more about the hay, what was underneath it and why you were putting them on the hay? Do you think this injury is related to the hay? Where did you get the hay from? Could it have been treated with something? .. Just some questions since I'm not sure about the why of this.
How soon did the other one die after you noticed the swollen feet in both of these hens?
So you say that your hen's feet are no longer swollen but that the toes are dying and falling off?
Just by observation, and this may be obvious, but it looks like gangrene to me. The swelling might have been a reaction to infection? I don't really see any pus in your photos that you provided. Can you get some antibiotics for your chickens? It seems to me that if it is gangrene, you may need to have some amputation done. Does it smell very bad?
When you had them on this hay, did you notice anything with them, like, were they reluctant to put their feet down, or hold them up in the air hovering over the ground?
Sorry for all the questions.. just trying to make things more clear. My advice would be to get them to a vet as soon as possible and have them look at it. I think they would be able to treat this.