Ah, now I see! Twisted-pair is used to reduct noise from its own signals only and a shielding is used to reduct strange signals only. For that case it could be very helpful to combine both technics (I thing that some newer SCSI connections are using this combination).
Also it's good to use thicker cables for a lower impedance (to lower the noise level). But thick cables are not easy to twist so that we normally won't get a twisted-pair speaker cable. Engineering is quite fantastic...

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Greetings from Frankfurt (Germany),
Sheriff ;-)