Are you just looking for environmental enrichment and not asking about using it as a substrate?
If its just enrichment, I'd recommend looking into other products that have less risk than hay. Pieces of fleece cut in varying sizes can be fun. You can create fleece forests, tubes, or shove some in a pigloo to dig out.
You'll likely see a hedgehog get interested in hay initially because it smells interesting. They may anoint with it, but its not part of their diet so of no real benefit there. And they likely won't show too much interest in it as they get used to the smell.
Softer hays and hay that is kept fresh tends to be less dusty, but there is always a little dust and a risk of a sharp piece of stalk being in a bale, its just the nature of how you grow hay.
As a bedding substrate, hay is not very absorbent. So you'll need a sub-layer of product to take care of that. Another concern to consider is that hay can mold quickly in the right environment. Hay that has become soiled should be removed daily to help reduce these risks.
Honestly, no matter whether its for substrate change or environmental enrichment I'd look at alternatives.