Freezing kills most bugs. The hay I use is frozen first one bale at a time by the farmer to kill off the hay mites and book lice that feed on the hay mite. If you have enough space in your freezer you could bag the hay into brown paper bags, freeze overnight and then pop the bag into your airing cupboard or somewhere dry and warm to dry up again before restoring, this should help.
As for the dust, probably just the end of the year's stock and the new bales cut and ready now from this year should be far less dusty. Hay is a well known allergen and timothy grass seed in particular is very allergenic. I think the dust mask and rubber gloves when handling is a good idea if you are very sensitive to it. My husband gets a bit asthmatic with certain boxes of hay - mainly the ones which have a high proportion of ripe timothy seeds in.
Apologies - not read the thread in detail but do you keep your hay in the garage/shed?
I bring a few slices up from the stables at a time and put them into a large plastic dustbin. When filling up the litter bowls etc I grab a chunk from the bin and give it a shake so that any loose stuff falls to the bottom (back into the bin). Then when it's empty & before re-filling the bin I tip the loose bits into the recycling/compost bin. Make sense?
I do this mostly so that it doesn't go all over the garage floor & patio outside but it just occured to me that I'm also getting rid of any dusty/loose stuff at the same time
Could well be that you've had a dusty bale too and even within a bale, one end can be quite different to the other :roll: