Generally speaking, you are correct about a bale burning. I demonstrated to an employee that wet hay burns. I soaked a bale with water and let it sit 2 days. After two days, I cut it open and you could not keep a hand in it due to the heat generated (This is how most barn/hay fires occur, wet hay decomposing.). I also lit one bale and another I put some fuel on and lit. Neither would sustain flame for long.
The night of the Nuns Fire, I had a stack of hay. when embers lit on it and it began burning, in single digit humidity, with driving winds, with air super heated by the surrounding fires and the weather, not only did that pile sustain fire, it sustained flame, and nothing could put it out. They burned for more than a day. A week later they rekindled what was left.
People think metal is the ticket. The metal structures here became super heated enough that the framing under the metal caught. Even framing covered with fire resistant hardi-board and then metal burned. Everything in the metal pump house burned. Everything in my “fireproof” all metal shipping container burned. We found very little, half notebook size sheets of metal and then only a few of those, from the metal roof of the barn. Unless you are really studying this stuff or have seen these fires burn in person, it is hard to comprehend what is taken by one of these fires.
Do not kid yourself that a bale building will resist fire. I have seen these fires time and again and given the right circumstance they will burn too and burn well.
You speak of hay burning. However, straw bales are NOT hay bales. Hay has seeds, is probably softer, and should not be used as it would attract mice. The fact that the exterior is covered with cement or stucco which infiltrates the surface spaces, and tightly fastened interior coverings which might also be stucco but are more often drywall means there is very little oxygen within the space to promote burning. One person built his home by putting cement or mortar under and between every bale, in addition to exterior and interior covering. Thus each bale was completely encased. This might be especially useful in a high fire environment.
While I agree that a bale building could also burn, it probably would be more resistant than most others. Please read the link I included as at least one person’s comment described how his bale home behaved in a major fire. Incidentally, the article was from 2007 so there may be more recent information.