Hi Ryan, welcome! Your piggie is very cute! I have a hay ball and I think they're a great idea to have (my pigs love it!) but they also love to run through and sleep in a big pile of hay (in fact, most of the time that they're not running around their cage, they are just lounging in the hay!). Maybe try stuffing the hay ball and also leaving a pile for him to nest in?
I used to just have a store bought cage too, for my single pig before I found him a buddy, but since building a c&c cage I've found he's much happier and more active. Like other people have said, they're not expensive and pretty easy/quick to set up. I think I was mostly done in under and hour! Good luck with CC, I'm sure he'll warm up to you more as time goes on