You could look into getting a hay holder. I'm not too sure who makes them anymore. Mine still sometimes pull the hay out of the holders, so I put their litter pans right under the holders. That way if they pull the hay out, it usually lands in the litter pan and they can pee on it and it doesn't matter.
Twilight makes great customized hay holders. My boys have one that is heavy duty enough for them to sit on the top and pull hay out of, and they love it. They do still pee on the stuff that falls out though, I might try putting the litter pan under it.