I can't really say I've seen anything like that, but my finch Koyuki loves her whicker ball with paper strips(? I'm not sure what that is, confetti??) So finches love it at the very least, at least those that like pulling and ripping stuff.
Well - I searched for a photo of the big hay racks some aviaries have (full of hay) but couldn't find them. I know I have seen some in the last few days. Anyway, it's only moldy hay that would carry asper *I think* so best to know your hay and find some that is safe.
Amazon has "hay racks'" for cages that I was going to try this year to put nesting material in. I don't have a good source of hay, so I buy the little bales at the big box store and mostly use shredded newspaper.