I don't think it would be a good idea to have one in a dorm (harder to clean, etc.) so what should I tell my roommate? She won't give up on trying to convince me.
If your only reason for not wanting the rug is that it would be more difficult to clean, then agree to get a shag rug only on the conditions : 1. she purchases the rug (which will then obviously be hers to keep once you two stop living together); 2. she cleans the rug; AND 3. she doesn't get bent out of shape if you think the rug needs cleaning and you then ask her to do so. If she is trying THAT hard to get you to okay having a shag rug, then I'd let her do it, as long as she knows that it is her responsibility to clean it, AND that cleaning is subject to both of your subjective opinions on cleanliness.