But it's easy to pull out!
I use straw as mulch a lot and see no reason not to use it for daylilies -- I did that in fact with some new ones. Straw can protect them from excess heat and sun a bit too because it's lightweight enough to pile up around the plant (though you would need to pull it right away from the crown when it's going to rain or time to water.)
And I am not experienced with daylilies so there may be issues I am not aware of. (fair warning on my opinions here.