Although hay / straw are mentioned earlier as safe & recommended bedding, this is the case only when it is used with newspaper, shavings or other safe bedding below. The reason is 'cos hay / straw will not absorb urine. They are there to act as a barrier between the cavies & the bedding below the hay. When the cavy pees, the urine will pass through the hay / straw & come in contact with the bedding (e.g. aspen shavings) below the hay. The urine gets absorbed by the bedding.
If you use hay / straw alone, there is nothing to absorb the urine. In no time, the hay / straw is going to be soaked in urine & that's not what you want. Thus you shouldn't use hay / straw alone. Besides newspaper cost almost nothing, so there's no reason for you not to use it below the hay/straw
Cheapest bedding of all.
Very poor moisture absorbancy since there's no newspaper below.
Not very good at controlling odour.