Here are some instructions by Randy Person at the Washington State University Extension Office on how how to build a nest block and roll your own paper tubes:

http://snohomish.wsu.edu/mg/ombblock/paper%20liners%20that%20work.pdf

In it, he comments on the best material for paper straws. Sounds like plain white Reynolds Parchment Paper wins out.

"IÂve tested many types of paper over several years, including grocery bag stock, typing paper, freezer wrap, cooking parchment, and wax paper. Only the cooking parchment works every time. The wax paper is usually OK. In fact, you may want to line a few holes with it just to watch the bees chew it. ItÂs very strange to see long strings of wax paper hanging down from the holes! The other papers seem to either absorb moisture from the air or trap it inside the tube. Both lead to mold and mortality  do not use them. The cooking parchment IÂve used is Reynolds Parchment Paper. ItÂs light and translucent white. IÂve seen other thatÂs heavier and tan, but havenÂt used it. If you do, let me know how it works."