Why don't we use the indefinite article in "what hassle"?
I think hassle is used as noun here which means "Irritating or inconvenience". What exactly is the problem with "what a hassle" (as hassle is third-person singular)?
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As others have mentioned, the common phrase to express annoyance is "what a hassle", similar to "what a nuisance", "what a pain", and so on.
But saying "What hassle" is not entirely ungrammatical, because hassle can be used as an uncountable noun (to mean "hassle as a general concept", rather than a specific instance of it happening) which then cannot take a/an. This would be parallel to such expressions as "What fun!", "What larks" and so on - but as the latter example illustrates, this comes across somewhat stilted and literary.
(As for a versus an, that is well covered elsewhere on this site.)