Normal Behavior
Yes, it is normal for a female guinea pig to burrow underneath hay in her cage. They do so for nesting and as part of natural burrowing behavior.
Why Hay?
Hay is soft, comfortable, and retains heat, making it suitable for nests and burrows. This behavior does not indicate problems as long as she has ample fresh hay and a clean, spacious environment.
Hay also supports dental health, digestive function, and overall well-being.