I suspect that reason for oscilloscope to have plain coax is capacitance. Twisting wires reduce inductance but increases capacitance - important with scope’s high input impedance and very high measured frequencies. Unfortunately this coax arrangement creates errors. When you short probe and touch tested circuit with shorted leads it will show small amount of noise (in spite of being shorted). It is because current flows from the circuit thru the shield (finding return to GND) causing voltage drop, that shows on the input as signal - exactly what we try to avoid in interconnects by using two wires inside of the shield.
Because twisted pairs provide cancellation to all external fields (magnetic or electric) it is used everywhere - in all network cables, in all audio cables etc. It would be stupid not to. Typical twisted pair provide about 40dB rejection up to about 100kHz and still 20dB rejection at 700kHz. Above that shield becomes very effective by means of skin effect. Skin depth changes with frequency squared, being roughly 2mm at 1kHz (Cu or Al). For 100kHz it will be 0.2mm. There is some info on twisted pair effectiveness here: