Just to weigh in, as I've had to deal with this living in the UK, I started with feeding my piggies Pets at Home pellets. They were ok, but after more research, it seemed like the regular Burgess pellets were supposed to be better quality (not the sensitive type, but the normal ones - tasty nuggets). However, as far as I've seen, all popular guinea pig pellets that you can buy off the shelves in the UK and that are UK produced are made with alfalfa hay. This is also called "lucerne", which is seen in the ingredients in your pellets. So, they do have a type of hay. Many UK owners and shelters (including the one I got mine from) feed Burgess Tasty Nuggets.
However, I didn't want to be feeding my guineas alfalfa because they're over the recommended alfalfa age, so I order in Oxbow pellets. You can order Oxbow Cavy Cuisine from Amazon.co.uk, Bunny Bazaar (shop run by the Rabbit Welfare Association and Fund), and The Hay Experts. They all stock them and ship in the UK. There is a cost difference, but I think it's worth it to feed them on timothy pellets. Mine don't have calcium deposit problems on Oxbow, though, so it's worth using a small bit first to see.