Use whatever nest litter is at hand and which is soft, absorbent, clean, non-toxic... and hopefully cheap!
Things that have been used over the years are straw, fine leaves or leaves chopped fine, moss, lichens, shredded paper, pine shavings... well, you get the idea. I use pine straw and raked up leaves.
But as important as what, is how.
Make sure each nest has a 4" high front board so the littler wont be kicked out - hens dont have much respect in that regard.
Make the bottom of the nest from poultry netting and line the nest with paper. Then add 2-4" of the litter, and leave a bowl shaped center. The wire mesh discourages mites and lice and when its time to clean out the nest, just lift the paper and litter as one.