I'd call ours inside-outside piggies, or half-outside piggies. We had intended for them to live outside all year round and mega-insulated their hutch accordingly. However, within a couple of weeks of bringing the 6-7 week-old piggies home last September, we realised this wasn't going to work as they had had no time to acclimatise and it was getting so cold at night. We have no space for them inside but as we had converted the shed into my study -- so into a proper room which could be heated -- we moved the hutch in there and put fleece down and used C&C panels for a large run. It was still an effort to keep it sufficiently warm, particularly at night (heater on only in the daytime when we were around), so even there I wrapped the hutch with many blankets at night. We have moved the hutch back outside for the Summer but, having learnt that below 15 degrees is too cool for them, particularly as they are used to a heated environment, we are bringing them back into the shed every night (with a back-up hutch that we always leave open onto their run).
My conclusion after all this is that half-outside, i.e. permanently in the shed with a run over winter and outside during the day in the summer, is our best solution and the one I would continue with even if we had space indoors. When they are in their larger outside hutch during the day we find it much more difficult to interact with them but I do think it is more pleasant for them to be outside if it is warm (they have constant access to a predator-proofed run beneath their raised hutch). We then have proper time with them again when we bring them back into the shed at 5 pm. I was worried that this daily movement between an inside hutch and outside hutch would be too unsettling and create dominance problems, but they now know the routine and it is working. In the morning, they jump into their carrier and wait to be carried over, even if we are not yet ready to do so! They are more resistant to coming back which tellingly shows that they prefer the outside set-up.
So, a shed works really well. They are protected from the wind and rain and they are safe. We wouldn't have been able to bond with them had they been outside over the winter. It doesn't matter there that hay is absolutely everywhere, although it still ends up inside the house. If we ever move, I will set up a dedicated shed for them, where they could take over the entire floor. (This shed run is built around my desk ...)