My first thought is Obsidian. There are problems with this; it's a volcanic glass, and you're in a desert, but conceptually, the idea is reasonably sound.
I'm going to assume for the purposes of my answer that by 'desert', you mean a hot, dry sandy desert like the Sahara or Gobi, not the strict definition of a place with no rainfall that could also include Antarctica. I'm inferring from your question you're only looking at places with lots of sand and hot days.
In many countries, we use double glazing as an insulative material. There are even now triple glazing products, which effectively put 2 air pockets, or vacuums, between you and the elements. It's suprisingly effective, although obviously not as effective as walls with thick insulation bats. That said, if your inhabitants can shape a heavily tinted glass like obsidian or even manufacture it from the sand around them, then they can build homes with shelter from the sun via double or triple glazing using glass like obsidian which is (more or less) opaque.
Glass houses in the desert are a bad idea because of the greenhouse effect - the sunlight getting in gets trapped and heats up the internal areas of the glass house even further. Great if you're growing tropical plants in Scotland, terrible as a desert housing solution. What obsidian would offer is the ability to block the sun from getting in in the first place. You get shade which in the desert is important. What you don't get is a shelter medium that can breathe, and release the trapped heat. Glass can act as a thermal mass though, which could actually work in your favour on this point.
Deserts are known for being hot through the day, but they're also very cold at night. Why? because they have no water around them, meaning a very low thermal mass. Your obsidian would spend the day baking in the sun, retaining heat. because you've double glazed, you won't feel that heat until early evening, but through the night it starts to release it, meaning that it actually serve to keep you warm through the night, when the desert is bitterly cold.
So, if you do it right, all you've really got to do is introduce impurities into your glass that turn it black or some other colour, then build your homes with air gaps between panels, and you have a good chance of building homes that can regulate temperature reasonably well. You're still going to be hot during the day, cold at night, but not as much as you'd otherwise be.