Hi there, yes spontaneous combustion of hay is a thing. I believe single bales can do it under the right conditions, however as mentioned, it is much more common with large quantities stacked together. This is why farmer’s often have more than one storage shed for their hay bales, because keeping it all together is too much of a risk, if one catches, you can be sure that all the rest are going too.
When hay is baled at the correct moisture content, it shouldn’t combust. However sometimes given weather conditions etc hay is baled at a higher moisture content which is when it is more prone to combusting. Moist bales can get a lot of heat in them and increased heat or movement of that bale can lead to combustion. If a bale is going to be prone to combustion, you will feel the heat from it. I’ve only had one bale that I was concerned about, it was very freshly baled, very green and quite moist. I believe when I stored it I kept the lid to my storage container open to ensure that heat could escape. With bales like that, you can feel the heat in them so you will know if it’s a risk. Hay baled at the correct moisture content can also combust however if it gets wet due to improper storage or rain. Storing inside is the easiest solution to prevent moisture getting into the bale, sometimes if you are using a sealed plastic container the hay can sweat, but it’s more likely to lead to mould and not spontaneous combustion. You can avoid this by putting some vents in the sides of the container.
Here’s an info site on combustion with hay bales: http://agriculture.vic.gov.au/agriculture/dairy/pastures-management/haystack-fires-spontaneous-combustion
All that being said, spontaneous combustion in single bales is very rare, and highly unlikely in the types of conditions that people store them in, and most bales sold for pet/horse use aren’t going to have that kind of heat in them anyway.