Living here in MN, we won't see our pasture for about 4 months. My sheep eat a diet mostly of hay, 2nd and 3rd cutting alfalfa and orchard grass mix, from our own field, and a small amount of grain. I am by no means an expert, but I don't see any reason why you couldn't feed just hay. I read somewhere that grain feeding livestock didn't start until after the depression, as a way to give farmers a place to sell their crops. You could also look into using kelp meal with your hay, for added minerals and protein.