Image denoising is often empowered by accurate prior information. In recent years, data-driven neural network priors have shown promising performance for RGB natural image denoising. Compared to classic handcrafted priors (e.g., sparsity and total variation), the deep priors are learned using a large number of training samples -- which can accurately model the complex image generating process. However, data-driven priors are hard to acquire for hyperspectral images (HSIs) due to the lack of training data. A remedy is to use the so-called unsupervised deep image prior (DIP). Under the unsupervised DIP framework, it is hypothesized and empirically demonstrated that proper neural network structures are reasonable priors of certain types of images, and the network weights can be learned without training data. Nonetheless, the most effective unsupervised DIP structures were proposed for natural images instead of HSIs. The performance of unsupervised DIP-based HSI denoising is limited by a couple of serious challenges, namely, network structure design and network complexity. This work puts forth an unsupervised DIP framework that is based on the classic spatio-spectral decomposition of HSIs. Utilizing the so-called linear mixture model of HSIs, two types of unsupervised DIPs, i.e., U-Net-like network and fully-connected networks, are employed to model the abundance maps and endmembers contained in the HSIs, respectively. This way, empirically validated unsupervised DIP structures for natural images can be easily incorporated for HSI denoising. Besides, the decomposition also substantially reduces network complexity. An efficient alternating optimization algorithm is proposed to handle the formulated denoising problem. Semi-real and real data experiments are employed to showcase the effectiveness of the proposed approach.