"brv alloys weigh more than the normal steel rims, so that was why i didn't go for them"
Do you have any proof of this statement? Because I've weighed Honda 15" alloys and 15 inch steel rims and found that the alloys are around 3 kgs lighter each, which is a significant difference in unsprung mass/weight.
Also, I believe alloy rims are mostly made out of aluminum(around 90-95%) with 5 % nickel/ silicon or magnesium. Its basic knowledge that aluminum is lighter than steel so I don't know where you are getting the information that aluminum rims weigh more than steel rims
Building the entirety of a rim out of magnesium can be done, but in general magnesium is a poor material to build rims out of as it is very hard to work with and prone to catch on fire. Magnesium is also more fragile and not as resistant to corrosion as aluminum.
Magnesium rims are usually only found in supercars, and even then only rarely, as the industry has begun to shift to using carbon-fiber, while most still use aluminum .