Radios capable of receiving shortwave bands aren't exactly rare among normal people. They're not really "special hardware". Just owning one would not be inherently suspicious.
replyWhat would be suspicious is being in possession of the one-time pad needed to decode the messages, regardless of which media those messages are transmitted through.
For the record, "numbers stations" can be found in nearly every communication medium, including the web. The advantage of using shortwave (range, primarily) are large enough that the benefits outweigh the drawbacks.
> What would be suspicious is being in possession of the one-time pad needed to decode the messages
replyWould it though?
All you need is something with sufficient entropy. I reckon you could do a "good enough" job with any plausible-looking data you have lying around on your hard disk right now. Say for example if you took a couple of sha256s of any random image you might post on social media, you'd have quite a lot of key right there.