The correct term is bale of hay, not bail. Bail means taking leave from a jail legally by giving some penalty, like 'Bailing out of jail' or to remove something, such as 'bailing water out of a...
Not concrete on this, But I would believe its origin lies in "Old Wive's Tales", that generally revolve around what was observed by being near or in hay and gaining a fever afterwards. Hay Fever is...
well generally a feed store will provide hay for you to buy, but if you mean where does it grow, then its generally a crop that can be grown/ found on a farm.