I have tried all kinds of material for nesting boxes, including wood chips, dried grass, leaves, straw/hay, paper shreds, and pine shavings. All seem to work, more or less. As long as the material is clean, my chickens don't seem to mind.
I am currently using paper shreds as my coop litter. Paper shreds work in the nest box as well, but, you are going to get a few shreds pasted on to a freshly laid egg all the time. Not a really big deal, but I do prefer to use pine shavings in my nest boxes because the shavings do not stick to the fresh eggs.
If you have a bale of hay to use as nesting material, then go for it. If you have to buy nest box material, I would suggest getting a bale of pine shavings. I have been using the same bale of pine shavings for my nest box material for over 3 years and still have more than half the bale left.
I currently use artificial grass pads which I got from Amazon and supplement that with pine shavings from TSC. Our ladies have no objections. Best of luck in your search.