This might sound weird but if you have a local pound stretchers they do these teeny tiny looking bags, but they really pack the hay in, must be about a kg in there plus it's long strands of meadow hay type and not too dusty, much much less dusty than p@h hay. I often use it to bulk out my hay for pets stuff, my guys really like it!
Otherwise most garden centres stock hay, or any small independent pet shops close by?