I have never had an allergy a day in my life, until about 9 months ago. Apparently, it is really common to develop allergies during pregnancy and this happened to me. I had never had any problems with my Joe or his hay until the last couple months of my pregnancy and it had gotten progressively worse. It got to the point that both of my eyes swelled up (the right one almost completely closed, my throat got super scratchy and swollen to the point I couldn't breathe normally, and I developed a horrible rash all over my arms, and no medicine helped, I tried eyewash and still nothing. I tried switching to orchard grass and nothing, bluegrass wasn't available and I felt stuck! It got so bad that I actually considered (briefly) re-homing them, but this was just not an option, I knew I needed to find a solution. There is the negative...now for the positive!!...
I went to the grocery store and got 100 brown paper bags for like $2, I also got a long pair of gardening gloves and a pair of non-vented goggles and I facemask (kind of like the ones doctors wear). About once a month, I suit up like I'm preparing for biological warfare and pack hay into the brown paper bags. I cut a couple of slits in them for air circulation and vwhalah! I throw on a glove and give them a bag of hay when they need it and have pretty much no symptoms, the ones that I do have are more that managable.
While it's not a perfect solution, containing the hay in the bag keeps it from getting into the air as much, it keeps it from getting ALL OVER their cage (they still scatter it a bit), and it keeps Joe and Jesse from rolling around in it so I don't blow up like a puffer fish when I hold them.
I hope you are able to find a solution that works for you and your piggies!!