Lots of critters in hay!
Not only external parasites, but the stuff just breeds micro-organisms that could cause other problems. Try this trick sometime. Take a small handful of hay and put it in some unchlorinated water. Put it in a window for ten days. It'll be teeming with organisms large enough to see with the naked eye. We did 'em in school- called a hay infusion. Besides, mold, fungi, and a whole host of things live in it. Newspaper is the choice of many.