One problem with hay is is can vary from brand to brand but also from season to season, it's a crop so it's effected by the weather. So if you have a picky chin you may have to shop around for a different hay, go with what looks and smells the best rather then fully committing to a single brand. Although it may have been good in the past you could have gotten an old bale or one from a bad harvest (according to your chin). Also make sure if she has been eating from this bag/bale for awhile and suddenly not wanting to eat it make sure it hasn't gone bad. Smell it to make sure it still smells like hay and not moldy or dusty, and feel it to make sure it's not overly dried out or gotten damp.
Eating hay is actually very important, so unlike what Airyn said eating just the pellets is not good enough. Hay is actually the primary diet of chins (roughly 75%), the pellets are basically like supplements to add the vitamins and minerals into the diet that the hay may be lacking. On average a chin should eat about 2tbs of pellets and a handful worth of hay per day. Although a chin could live off a pellet only diet for awhile, it will end up with teeth issues, as well as digestive issues. They need the hay to properly grind the molars down, and the added fiber in the hay for proper digestion. They can however live just fine on hay and water alone, their fur doesn't look as nice but would otherwise be fine.
I do agree that most chins like the play with their hay though, my guys will often take all the hay out of the hay hold in search for the perfect stand. I don't refill/change the hay daily though, I give enough for a day or two at a time and wait a couple days. If you offer too much at once it can cause the chin to not see the hay as as valuable, they can afford to be picky because they get fresh stuff everyday. Cleaning up hay is inevitable, they rarely eat every strand but they should be eating a good chunk of it.