There is talk of a better alternative to steel, and one among the subject is "palladium glass". Manhattan Gold & Silver sums up the backstory of p-glass's construction, written in October 2014:
Just a few years ago, materials scientists from the Lawrence Berkeley National Laboratory and the California Institute of Technology created a type of microalloy using palladium, phosphorus, silicon, germanium, and silver. When combined with glass, it removes its characteristic brittleness. On top of that, it’s stronger and more lightweight than steel.
How is it stronger and lighterweight than steel?
When force is applied to glass, shear bands form within it – which turn into cracks, which causes the glass to break. Since glass has a non-crystalline structure, shear bands and cracks can form very easily. Palladium’s crystalline structure creates microstructural obstacles that inhibit shear bands from creating cracks. When force is applied to palladium glass, many shear bands form, but they curl back on themselves. This gives the material plasticity, allowing it to bend before breaking. The result is a material of unparalleled strength (i.e. the amount of force a material can take before it deforms) and toughness (i.e. the energy required to fracture a material). It’s somewhat like a rubber band made of steel – it can readily bend and flex, but also stand rigid and hold its shape.
In OTL, unfortunately, the concept of palladium glass as the bone of a skyscraper's skeleton is currently reserved for the realm of science fiction, and here is why:
Unfortunately, the price of palladium and the difficult refining techniques required make palladium glass prohibitive to mass produce for the time being. Otherwise it could be a perfect material for fabricating vehicles and aircraft.
Now the Manhattan Gold & Silver article never mentions the idea of palladium glass being used for skyscraper-building, but considering the final paragraph, I don't think mentioning it would have made any difference.
But this scenario is connected to the alternate timeline of the medieval Chinese Industrial Revolution. The earlier you start, the likelier the odds of mass production. So let us now fast-forward to the point between 1920 and 1940, the first modern Golden Age of Skyscrapers. A steampunkier Industrial Revolution usually means larger, grander buildings, and that would require steel to put them in place. In the 1890s, the Industrial Revolution would be over and palladium glass would be put into experimentation, almost 600 years after the first modern skyscraper. By the 1920s, skyscrapers with palladium glass skeletons would become not just a reality, but a construction craze. Are 30 or so years enough to make palladium affordable enough for mass production? And could they be used as the skeleton of a skyscraper?