Megazorb, fleece, hemp or cardboard are the only things to use in my opinion. I would add shredded tissue type bedding if it wasn't so expensive and hard to get hold of.
I used to use shavings, after all, that was what the pet shops sold, it must be suitable... Time experience and research has shown otherwise. All those lovely pine aromas are chemical compounds filling the air, and a piggie nose is much closer to the source than ours. So all those chemicals are going straight into their lungs, where they are then absorbed, leaving the organs to process them out the system. This is a Bad Thing. The dust is also an irritant that will settle in the lungs as a physical body and again, cause the piggie to have to somehow process it out.
Then there's the issues with pine oils and the skin on the outside, so the poor piggie is having extra workload on their body from all angles.
Megazorb is a dried wood pulp that has next to no discernable smell (so low on aromatic compounds), is slightly dusty but less so than many shavings, is very absorbant, and works out cheaper than shavings usually do. Especially if you buy shavings in the small packs at pet shops (Megazorb comes in large sacks).
Hemp chip bedding is a little more expensive than shavings, and again comers in large bakes, but isn't overly dusty and hasn't got the potentially lethal pine compounds in it. It is rather sharp though and might not be too kind to feet.
Fleece is good as it's utterly dust and airborne compound free, but it can be a pricey investment (pays itself back over time though) and requires daily sweeping and regular washing to keep it clean and usable. I intend to go over to fleece, but my washing machine is small and my cages aren't, so have to work out how to manage it!
Cardboard bedding is brilliant, extremely low dust, they seem very comfortable on it, in itself it's very cheap, and it's quite absorbant. However, it's not widely available retail, so chances are you have to mail order. And that puts it from around £5 a large bale, to £20+ a time due to carriage
If your piggies are showing problems on shavings, the simple answer is stop using them. A more expensive bedding or drive out to source hemp, cardboard or Megazorb, is far cheaper and less stressful in the long run than vet trips and serious illness.
