How to prove that the orientation of the atomic orbitals in the superposition $\psi= a\psi_{1} + b\psi_{2}$depends on the coefficients $a$ & $b$?
In quantum mechanics states/orbitals are defined within the mathematical framework of the Hilbert space. A Hilbert space is a vector space that generalizes the notion of Euclidean space -  one example of the latter would be the normal two- or three-dimensional spaces you might be used to from basic geometry. So, orbitals are nothing more but abstract vectors in a Hilbert space and you can draw many analogies between them and the more familiar two- or three dimensional vectors you learn about in high school. So, let's think of quantum mechanical states as vectors for now. If you add two vectors, $\vec{a}$ and $\vec{b}$, you get another vector, $\vec{c} = \vec{a} + \vec{b}$, which if $\vec{a}$ and $\vec{b}$ are linearly independent, will have a direction different from either $\vec{a}$ or $\vec{b}$. You can also choose different coefficients for the superposition, e.g. $1$ for $\vec{a}$ and $-1$ for $\vec{b}$ yielding a vector $\vec{d} = \vec{a} - \vec{b}$ which now has a direction different from either $\vec{a}$, $\vec{b}$ or $\vec{c}$. So, the direction of a sum vector changes with the coefficients.



The same principle holds true for orbitals. If you for example think of the $\mathrm{p}_{x}$ orbital as a vector pointing in the $x$ direction, i.e. in two dimensions $\bigl(\begin{smallmatrix}1 \\ 0 \end{smallmatrix}\bigr)$, and of the $\mathrm{p}_{y}$ orbital as a vector pointing in the $y$ direction, i.e. in two dimensions $\bigl(\begin{smallmatrix}0 \\ 1 \end{smallmatrix}\bigr)$, then a superposition of both (with equal coefficients of $\frac{1}{\sqrt{2}}$ to ensure normalisation) will give you a $\mathrm{p}$ orbital pointing in the $\bigl(\begin{smallmatrix}1 \\ 1 \end{smallmatrix}\bigr)$ direction.



But as with vectors you are by no means confined to simply add them together with equal coefficients. For example, if you add $2$ parts of $\mathrm{p}_{x}$ and $1$ part of $\mathrm{p}_{y}$ you get a $\mathrm{p}$ orbital pointing in the $\bigl(\begin{smallmatrix}2 \\ 1 \end{smallmatrix}\bigr)$ direction, and that is clearly different from $\bigl(\begin{smallmatrix}1 \\ 1 \end{smallmatrix}\bigr)$.