Sounds like you have a few things going on there. The first about which I am curious is the infection and scratching - could you tell us a bit more about what's going on there? What raised my concern is that you mentioned scratching and a shot. Often, one thing that vets will do is to suspect mites and administer "Ivomec" (also called "Ivermectin") to treat mites. It turns out, this medication is actually dangerous to hedgies:
http://www.hedgehogcentral.com/forums/59-mites/4-ivermectin-injection-goes-bad.html
So, that's the first thing I really wanted to check out. It can be the case that the hedgie will survive the first dose, but the second dose kills them... so please don't think "oh, she was fine the first time, she'll be fine again."
The other thing I wanted to know a bit more about is what kind of infection does she have? Is it resulting in a skin condition like lost quills, scabbing, etc...?
Then, on to your original question: fleece would be the best way to go in general. And, especially if you're dealing with a health condition. It won't harbor mites and is not dusty so it won't make any skin or respiratory condition worse like particulate bedding (shavings, carefresh) can. Also, you'll be able to see changes to her poop and pee much more quickly and clearly. I would choose fleece over wool since it is relatively inexpensive, you can cut it to the exact size and shape you need without it fraying (threads are dangerous to hedgies - can get wrapped around toes and feet and cause major issues -- infections, loss of limbs), it can survive multiple trips through the washer and dryer set on high heat, etc...
So, to try and make things as stress free as possible... the main thing that she'll miss is being able to dig and get under it:
She may try and burrow under her liner - you'll find her sitting on the cage bottom, under her fleece -- try two layer of fleece so she can get between them. Or just let her be a liner diver -- many do that... and it's okay. Seems weird to us humans, but is going to be okay. Just make sure that she won't be able to knock over her food and water dishes.
She may just be plain confused and not know what to do with herself. You can create a little dig box for her. Find something simple like a plastic igloo or a kleenex box (remove all plastic from the kleenex box) and put in small squares of fleece for her to be able to play with/tunnel through/dig through...
Sending hedgie hugs to you and little Penelope!!