You could melt steel with hay, if you went though the trouble to set it up right. It is only a question of fule supply, burn rate and oxegen supply.
My freind has his own forge/smelter, it is a hobby for him. His "little cooker" has a 2HP blower on it, and he can get normal wood to melt iron. There are 2 problems with using wood though.
1. You need a second person to feed the fire, cause the wood burns so fast.
2. You need a 3rd person to clear the ash as it is created, least it take up all the room in the pit and block all the airflow.
I have no doubt that we could do the same with hay, we would just need 3 or 4 people with pitchforks to constantly feed the fire (and a rather large pile of hay).
It is only a question of practicality. Coal is the best, because it is the highest energy density, folowed by charcoal, then wood. (I am not familiar with the reason charcoal is more energy dense that wood. Maybe it is not enrrgy density, but rather ease in liberating siad energy?)
Anyhoo, you should be able to burn just about anything, but you would need more of it, and you may need a helper. Powere could also be required for a blower, which would be reqiured for the less ideal fule sourses.
(Incidentaly, in india they realy do burn cow cips for fule. I bet someone also runs a forge off of them, if not a little mini smelter)