The hay comes between the gunpowder and the cannonball. Its purpose is to seal the gas behind the ball. Basically, the gunpowder at the back is lit up and explodes, the explosion creates this presurised gas which will push the cannonball through the cannon and out towards the enemy. So we want this gas to be efficient and stay in one specific place - behind the cannonball. Now, the cannonball does not fit tightly inside the tube of the cannon. There is some space between the cannonball and the walls of the cannon, so if we're not careful, this propelling gas may sneak past the cannonball and escape without doing its most important pushing job. We don't want this gas to be able to escape, so we keep it snug, behind the cannoball, with the hay.