The only thing I can think is because of the ink. I’d be interested to hear if there are other reasons. Of course it can go soggy, so that is something else but with regular changing that is much less of an issue.
I used to use newspaper under hay all the time. My newspaper supply then dried up somewhat but I do still use them occasionally. When I’ve got them I use a layer of newspaper a layer of disposable bedding (aubiose etc), and then a layer of hay (if not it’ll just be a layer of disposable bedding, then hay). My piggies are not the type of rummage through to the newspaper and have never done so, so I see no reason not to use newspaper.
My rabbits however can sniff out newspaper! They don’t dig in their litter trays when it’s just disposable ….unless I put newspaper at the bottom! The layer of disposable bedding on top of the paper is always very thick, they couldn’t see the paper but will always find it, pull it out and shred it!