I think I've tried wax over yogurt on cotton or wool, then oil and maple syrup on wool. Nothing was particularly sturdy or sound conductive. It seems that a special kind of oil may dry on wool and conduct sound, then waxing it would saturate the base material with a stage by stage adhesive for the oil resulting in a smooth but fragile texture.
I feel like once a natural solution could be added to expansive plant fiber such as cotton, easily everybody would be using it. Everybody uses cotton for everything. Or maybe flax would work well; I've never touched it, but it seems to have a wiry texture. I could be wrong.
Alternately, maybe you could get long pieces of bamboo bark and twist it together like grass twine.