Oh man, I have this set, but I have no clue what it's made of! :x It's ... soft?! I wish I knew how to tell hair types apart more easily!
I pulled down Pinkie Pie, and I compared her to my repro G1 Windy; the hair feels very similar, both are silky soft, with Pinkie Pie's perhaps being only a slight bit more coarse. But that could be due to length, since Pinkie is much shorter-haired (and smaller) than Windy. It's way too soft to be kanekalon, and not poofy enough to be polypropolyne, IMO; so, it's a good chance it's some kind of nylon? It also doesn't do that thing where it gets "thicker"/crunchy at the ends after being cut, which makes me lean towards nylon again.
Best of luck! I can't wait to see what you come up with!