The major cost of an oven is the running cost, not the construction cost.
Cement board is a poor conductor of heat. It will SLOWLY absorb heat from the inside of the oven, and when the heating element is turned off, it will slowly give that heat back into the oven, keeping it warm for a longer period.
Steel, on the other hand is a rapid conductor of heat, and will not give this effect. I don't have scientific data on this, but there is a lot of information on heat conservation of structures at
www.monolithic.com, where concrete domes are protected with foam sprayed insulation on the OUTSIDE of the concrete.
I'm pretty sure cement board and mineral wool insulation will be a better way to go.