Clay.
Whoever said that the so called holy grail was a cup ***** made himeslf and carried around everywhere he went. (29 CE Sports bottle?) As the 'last supper' that he attended with his apsotles was directly after the Penticost Celebration meal, there were already the cups, etc. there. He simply used what was already available.
Given that clay was the most used source material for cups, oil lamps, water basins, cooking pots, etc. It would likewise be sensible that these drinking glasses were made of clay.
I doubt that anyone making it at the time said, "Hey, we're crafting a special glass for ***** to drink out of tonight!" Not to mention, that it was passed around to 11 other guys to drink out of as well!