Hi - I'm new on here , but totally share your pain. My mare Mary pees for England. We tried everything bedding wise, straw she ate despite it being wet through, shavings were just floating on the river of pee , wood pellets didn't help and various other bedding just weren't soaking it up and it was costing a fortune. I also found she stank due to constantly lying in urine !!
The only thing ive found that works for Mary is Bliss. Initial outlay is a bit costly as need nice deep bed to start but it works really well. It soaks up the pee and leaves top layer quite dry. You only take wet out once a week (I initially found this really difficult as I'm a bit OCD & didn't like the idea of her being on a wet bed) , obviously you poo pick daily and then put new bag in each week , using the old stuff as a bottom layer. I must admit I do sometimes do a midweek wet patch clear out but that's about me not the bedding, I just can't help myself !! We no longer have pools of pee in the stable every morning and she and the stable smell much sweeter. It costs about £7 a bag.