Yea my girl came with a small bag of generic pet store brand hay (maybe Kaytee, not sure). It was a struggle to get her to eat it, even though there was nothing I saw in it that shouldn't have been. I got her Oxbow when she finished the small bag she came with and she eats at least three times more hay than she used to. It smells and feels so much better too. And it's really not that more expensive, if really at all than the other generic pet store brands.
I just keep the bag open and nearish my AC so it has air flow and is in low humidity, but isn't in front of the AC. I don't even poke holes in the sides, but it still stays completely dry.