How fresh is the hay? Does it have a date on the wrapping?
Fresh hay should have more of a 'woody' or 'sweet' smell. Older hay in our barn that has gotten damp/spoilt often has a funky smell. If the hay is spoilt or mouldy, it will also have unusual colour, be dusty or appear very dried out. Fortunately, unlike haylage/silage older hay doesn't carry as many risks; but if it has gone dusty or started to mould, there is a URI risk.
Are you buying the hay from a quality source?
Sorry if I come across picky - a lifetime in the equine industry and liaising with farmers has made me very fussy when it comes to hay