People use all sorts of things, including straw. Most have advantages and disadvantages. With straw, once in a while a chicken eats so much of it that she gets an impacted crop, but no more often than I see it mentioned on here, this has to be unusual.
Whoever cleans the coop will probably prefer the pine shavings for odor and less messiness, too. But it can certainly be done. I used hay for a year or so til I joined BYC and learned about pine shavings. Still use hay occasionally as I can buy it locally and have to drive further to get pine shavings, and I prefer it in the nests. Plugs up drafty holes better, too.