Yeah, when you can strip mine entire asteroids down to nothing, its not too hard to imagine building stations (or hell, even ships) out of things like concrete and steel, or upgraded versions of concrete and steel using materials abundant in space but rare terrestrially. I believe the Jita 4-4 Chronicle mentions concrete being a major material in the station's superstructure. The reason we build spaceships and spacestations out of light and relatively flimsy materials today is related to the difficulty in getting things out of a gravity well. Once your in space, there's little reason to make things out of more exotic materials. We build skyscrapers out of steel and concrete because they're strong, durable, and abundant. There's little reason to use other materials if the basic ones work just as well for less isk.
Now that being said, New Eden definitely has materials science that we don't. We can't build a space elevator because we don't have the materials science yet, New Eden has space elevators, so they clearly have some materials science further advanced then ours.