It's hard to find large pieces of closely knit food safe cotton where I am. (UK / EU)  Can I use pieces of undyed 100% cotton bed linens with tags removed instead?  What chemicals if any would the fabric be treated with? 
Bedsheets are a good choice for jam filtering and pudding making. When you buy new sheets there may be some residual chemicals from the production process (formaldahide, dyes, etc), which is why it's recommended to wash them first before using them in most cases. However, by the time you would use them for that purpose (presuming well used sheets) the only chemicals left would be from washing, life detergents and fabric softeners. Many of these products have scents added which could potentially transfer to your pudding. The way to avoid this is to wash the sheets in clear water with no detergents or fabric softeners of any kind.  