I would think that using straw as insulation in a chicken coop is just creating a motel for all sorts of little critters: Mice, mite, lice and any other assortment of insects that would love to live in such a nice cozy place right near your chickens and their feed. I would not recommend it.
I read the post before mine and thought I would add in, have you ever heard of cob building? It is using straw, sand and clay (with water, of course) as the building medium. It has a great insulating factor, but it is because you have to make walls fairly thick. There is a book called The Handbuilt House. I actually went to a workshop 3-years ago and learned to do this and want to use this method one day to build something, but it won't be my chicken house, it would take me too long considering how big I would need it for all the chickens I have.
Good luck.