Sure, common-mode chokes such as a guanella balun can be made with coax or balanced transmission lines. Two parallel (in the geometric, rather than electric sense) strands of plain wire make a balanced transmission line, so there you go.
Theoretically, there's some disadvantage to the transmission line used in the balun not being "optimal", in the sense that it won't match the characteristic impedance of the rest of the system. Consequently there will be some additional SWR loss and some additional impedance transformation besides the 4:1 intention.
However as long as the length of the transmission line is small relative to wavelength (rule of thumb, less than $\lambda / 10$) the significance of these effects is negligible. It should be pretty plain to see that a 4:1 balun can't be made with "matched" transmission line throughout anyway: should it match the high impedance end, or the low impedance end?
So use whatever you have on hand. PTFE (teflon) insulation is a good choice: it can handle high temperatures (helps with soldering), and has low dielectric loss. But if you have something else on hand and don't want to spring for some new wire, just about anything will work fine enough unless you are trying to put 2 kW through this balun.