I don't see a problem with the hay bale. The spread isn't that much on an average hay bale. Actually, a jump with some spread to it is a bit more natural, since the horse's jump will have spread, too.
I've used orange cones to prop ground poles up into a cross-rail, but the cones aren't that sturdy and there was a lot of getting on and off to set the "jump" back up.
Whatever you use, maybe start out lunging your horse over it first, or try free jumping, to introduce the concept. Splint boots or other leg protection may be a good idea, as well.
A stubborn horse walks behind you, an impatient one in front of you, but a noble companion walks beside you ~ Unknown