I use both, but I chop up the straw. Some people mentioned that the straw is too dusty and to be honest is no more dusty than the shavings, IMO. I don't like either just alone, so I use both. Just my preference
Well, only because I find the pine shavings easier to turn on the coop floor than hay would be. I also like the nests the hens form out of the hay in their boxes.
When I clean the nestboxes once a week it's easy to just pick up the whole wad of hay and toss it out. I put a clump of new hay in the nestboxes and the hens arrange it to their liking.
Straw will be compacted to the bottom of the pen and doesnt give to pressure very well so it hold poop on top while shavings moves freely causing the poop to move to the bottom and straw molds very easy and I have never had shaving to mold! straw can also have a lot of bugs and unwanted parasites in it if it come from a farm usually more with livestock but it can carry bird lice from wild birds along with mites and other unwanted critters!
shavings i goes through a chipping process and it is from the inside of a tree so its kind of hard to get parasites!