I am guessing (as no detail is offered) that you mean a model of the Penydarren locomotive by Trevithick. At the time it was made there were no standard threads – Whitworth itself was over 50 years in the future. But for sure they would have been very coarse in comparison with anything off-the-shelf today. And for sure they would have had square heads and square nuts.
The original gear teeth were likely to be cast, and not a modern gear form (whether engineering Involute or clockmaking Cycloidal). The choice of metal for this will depend on what method you propose to use, and what facilities you have, or can access. At the scale you suggest, cast iron might not serve, and you would waste a lot. I would suggest that to reproduce the cast 'rough and ready' appearance of the original you could use mild steel and hand-cut the spokes, teeth, etc using files etc.
And looking at the images which a google search brings up, there are several versions of the engine. For an obvious example, is the funnel at the same end as the cylinder or the other end? It is difficult to make a realistic (true to life) model when you don't know (does anyone?) what the original was like.
In any response, you might also tell us whether your engine is to be powered, and if so, by steam or what?
Regards, Tim