If you are strapped for cash at this point then I’m concerned that you may take other shortcuts. This will not be cheap unles you have access to good salvage equipment. A functioning unit can produce radio frequency interference and some x-rays and you need to take precautions.
Copper is used because it is an excellent conductor of electricity and heat. It has a reasonably low level of corrosion. You can make a demonstrator unit using iron parts but the metal needs to be shiny bright and iron tends to rust easily. Your power supply will be the most expensive part and it needs to supply a large enough current at high voltage to give you a satisfactory demonstration. The dimensions and gas pressure are important elements too as has been explained in other posts.
