My sister at the time was 28 years old when she got stage 3 breast cancer. When she lost all her hair she tried several times crochet hats and such and found most of them to be itchy and wouldn't use them and prefered sewn hats. However if I were to say a good non itchy yarn would be simply soft or baby type yarns. Because wools can be itchy. However not all are I know.
Anyway a hint is to also line the inside of a hat with soft type material this may work too
Hope this helps!
By the way my sister is Cancer free going on 2 years now!!!