U.S. Geological Survey photo by D. W. Peterson (fair use policy)
Pele's hair is fine fibers of volcanic glass that form as hot molten lava is thrown into the air during explosive eruptions. The liquid rock is stretched thinner than a millimeter, even as thin as human hair, and can be wafted far downwind to collect in quiet settings. It takes a lava of low viscosity, and very hot air, to form Pele's hair. The low-silica basaltic magma erupting in fountains from Kilauea volcano meets those conditions.
Pele is the Hawaiian goddess of volcanoes. She is said to be very harsh on people who take stones from her domain.