How about alabaster? It makes beautiful light shades and can be turned. It's a very soft 'rock' and easy to turn, though a little brittle. One of our local master woodturners used to turn it and generally put a Blackwood rim on it to protect it. There's a business in Ft. Collins, CO that sells it and their web site used to have videos on the process (or maybe links to videos). Art supply houses also carry it for sculptors.