i could be wrong, but i'm gonna say the opposite of dineah..no offence, but i'm not gonna say i'm 100% right either.
but only because he is eating his food and treats.
it could be just that he is sick of that hay. for years my guys were all great hay eaters, especially my chinchin, heck if he was out for playtime and i refilled his bowl the silly guy would go back in his cage to eat hay... but then something changed with the boys, now they are very finicky. so what i do is keep switching the brands i give them every few days.. oxbow, apd, alfalfa, cubes... and it seems to be working fine.
i also give them a variety of hays because they are all chewed differently so its great at helping the back teeth with grinding them down,
some other safe ones are :
broome, orchard, oat, oat, wheat & barkly, botanical, meadow, alfalfa [but only alittle of this one, too much calcium], i think i left one or two out, but i can't think for the life of me what they are... one thing i want to tell you in case you do start using some of these others, is that some of them are called grass, not hay, but it's perfectly safe for them.