When selecting a wall material you should really select one that you like! Wall material will however dictate what size generator you require. For example, a natural stone absorbs a lot of heat so you'd need a larger generator than if you used an acrylic material which reflects rather than absorbs.
You didn't mention size of tile, so I assume you didn't get to that step yet, but if you do choose tile remember to use small tile on the floor (better traction) and if possible a large slab for the seat, it seems that grout is not comfortable to sit on!
I apologize if I did not answer your question directly so here it is; in my opinion there is not one "best" wall material, but when selecting one be conscious if you have a budget, if you are not sure how this decision will fit into your budget go to our steam sizing tool, at the link below, pop in your dimensions, select a wall material and you'll be able to have a rough idea of cost.http://www.steamsaunabath.com//catalog/generator_sizing.php