I agree with all that's been said, and you will learn from experience what the goats will eat and what is a waste of time.
But as with anything, do your research to find out the basics (as you have done here.) and then go with your instinct and common sense. So don't commit yourself to a load of hay just because it's cheap. Just buy a couple of bales, or better still just one, to try it, and the goats will tell you if it's ok or not. As mentioned, they will go for fine hay with a lovely smell - and if it doesn't smell attractive to you then it won't to them.
As for straw - for bedding it doesn't really matter so long as again it smells ok.
I wouldn't bother with haylage. As mentioned - a large bale will go off before you use it and a small bale will be extremely expensive. And as pigmies are basically non productive animals - producing neither milk nor meat on a commercial basis - you would be buying extra nutients they don't need.