I've never used hay, but I have considered it for the nest boxes. I use the deep litter method, with pine chips. They are easy to stir up, and they absorb well also. I only have to change my shavings every 3-4 months, depending on how fast it breaks down. It also mulches pretty fast after I remove it from the coop. I have also put the used pine chips into the run area
Since the weather has really warmed up down here, I put in a little bit of cedar chips to offset the smell a little the last time. I worked too. My coop is 12ft X 6ft and I use 3 bags of pine chips ever 3-4 months. Thats not to bad and its affordable to. Hope this helps you.