I do think it makes sense to be cautious. I usually buy quantities of straw directly from farmers so I can ask about their pesticide/herbicide use but it is not the only factor upon which I choose my bale source. Other factors include the density of the bales, their uniformity, if I can dictate their length (a possibility for early summer bailing), the length of the straw (how it is cut), and how dry they are.
Since clay usually binds to oils and toxins I am less concerned about the chemical load on straw I use for cob. Also, straw-bale walls get encapsulated with plaster which is an effective air barrier so once a building is finished there is no real exposure.
I think the biggest risk is working with the dry straw, especially when chopping for plaster or trimming bales. I always wear a respirator and full length clothes. We can find organic straw here in the Willamette Valley and certainly is my preference. Oat straw is also common and a less likely candidate for GMO. Rice straw has the highest silica content and is the most difficult to work with so if you have alternatives I recommend using them. Ask feed shops where they get their straw and if they can put you in direct contact with the farmers. A little conversation goes a long way in helping you understand what your options are.