SSHDs are somewhat of a waste, no real reason to go with them.
M.2 is a form factor, Im assuming you meant NVME drives instead.
Depending on your budget and amount of storage you need a single NVME drive could be enough for just gaming.
I personally recommend HDDs for cheap bulk storage, but I also use my PC for things besides gaming that require bulk storage.
Additionally, something to consider: A typical gaming PC will never benefit from NVME class speeds when conventional SATA SSDs are already fast enough. You really only see your moneys worth regularly transferring large data files between two NVME drives.
If you can get an NVME drive for similar price to SATA, then thats fine (Intel 660p comes to mind), otherwise the money is...