Very solid. Walls of Clay block and mortar. Good!
Deirdre, is the floor built, finished? How?
Walls made of tile, mortar and clay block will act as a large rigid sponge soaking up humidity. Most users don't notice this and don't care much about this concern, but it is important. Depending on your climate and your building, this can cause serious problems for you, either for your health or the building's health. What Jim deB said about vapour barrier for the ceiling also applies to your walls. It is important to achieve "containment" and keep humidity inside the steam shower instead of letting it soak into the building's structure. Tiles alone will not be sufficient vapour barrier.
If you didn't know about vapour barriers in your ceiling, it is likely that the same applies to your walls.
Walls made of tile, mortar and clay block will act as a heat sink. Good to know, that's all. Any additional layer, thin, of any kind of insulator will help keep your heat inside the steam shower. Since people generally want their steam shower to be hot, that is why I am mentioning this to you. Any layer of anything not made of cement, clay or porcelain. Think membrane, like plastic, foam, etc. Think vapour barrier. A vapour barrier acts as a minor heat insulator too, as a secondary function.
What climate are you in? Tropical, temperate? Where you live, do builders all say vapour barriers are not necessary for steam showers?
David