Bedding such as wood shavings and sawdust will certainly get caught in a long-haired piggies coat. (Wood shavings and sawdust can give a piggie respiratory problems due to the inherent dust in it). Hay should not be such a problem as the stalks are too long. Piggies, though, are prone to getting poked in the eye by a hay stalk if they burrow into it. The same goes for straw. How about a paper-based bedding like Fitch or Back2Nature paper pellets? They are practically dust-free, super absorbent, odour-controlling and can be composted. 