Obsidian, stone, mud bricks. Anything goes, really. Polluted water is plentiful in the River Ruin, so one can imagine lots of brickmakers and clay pits clustered around the river, with kilns and vast drying fields close to lava pits, and mechanized land caravans exporting bricks to dry outposts inland, perhaps as a statement of luxury.
“Look how mighty I am, who can afford a brick ziggurat in the middle of an ashen desert with scant water even for drinking. Do you know how much it cost and how many slaves perished just to transport the bricks here? Mwahahaa! We ground their bones and mixed into the mortar.”
At the end of the day, go with rule of cool and what you think will look best: Perhaps glazed bricks as on the Ishtar Gate from Babylon? Or sandy-coloured mud bricks? Or magical obsidian? Or some dark grey stone, perhaps? You could even arrange a mixture of bricks or stones into simple staircase patterns by painting them in different colours, whether from glazes or material mixtures in the brick/stonework. 
Though if you have some particular location in mind, then you could possibly go with bricks if it’s close to the River Ruin, obsidian for that luxurious look, and stone works everywhere.
You could even do the unexpected, and paint stones as what we in Sweden call slaggsten, or slag stone, cinder stone. As a building material of industrial leftovers from all the furnaces in the Plain of Zharr.
The sky is the limit, and lots of fun can be had with picking or mixing materials. And you can always go the extra mile if you fancy it.
Whatever you decide upon, best of luck!