There's lots of places around Chania selling bales of hay as animal feed. They might know where you could get bales of straw? As examples, there are two very close to the national highway. Come off at the Omalos junction and turn in the direction of Omalos. One place is about 100 m from the junction. The second is a few hundred metres further along near a Continental tyre garage. I would guess there must be similar places near to Paleochora.
It's the wrong end of the island but the donkey sanctuary near Ierepetra might be able to give you general advice of where to get it. See http://www.walkwithdonkeys.com
or phone 6976 088547
Similarly there are a couple of stables near Chania who might have information. One is in the village of Deres not far from Tavronitis. The other is just off the slip road onto the national highway going west from the Omalos junction. Sorry I have no contact details. The one in Deres has a very good Taverna.