Whenever I go to give Calvin and Jessica's litterbox a new bunch of hay, one or both of them usually hop into it before I'm done (if one isn't already sitting in it). As I try to put the hay around them, they usually get covered with some of it. I brush it off, but they don't move - they just begin chowing down on the fresh stuff. I know that the ancestors of the domestic rabbit lived underground in warrens, but that doesn't seem to explain why my two wouldn't care if they'd be buried under a pile of hay.
I think they wouldn't mind being covered with hay because they'd have to eat their way out, and to a rabbit, that'd be a lot of fun. Um, okay, whatever :-)