What should i use? Haxe,Unity, or UE4?
Haxe is not a game engine but Unity and UE4 are.
But you can target Unity or UE4 from haxe.
You have different Game engine in Haxe.
Haxeflixel made with OpenFl
Or https://heaps.io which comes with its optional IDE.
Or Armory3D make with Kha
Depending on your type of game, one or the other game engine will be better.
I personnaly don’t use any game engine 
, I just use OpenFl for anything. But I use lot of small libraries that helps build my games.
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Surprisingly, this question is asked a lot.
Haxe is a programming language, Unity and Unreal are game engines that use the languages C# and C++, respectively.
Haxe supports targeting to C# and C++ although from the last Haxe event, it appears that the C Sharp target is no longer recommended to use anymore…