Clay is awesome. I’ve been working with ceramics for around 4 years now, I throw on the wheel mostly, but have done some small sculptures.
I know a lot about clay and have experimented with a few things before.
Clay can be extremely fragile. Once it’s fired (assuming you’re using legit clay and not like sculpey clay) the counterweight will become pretty dense (maybe too dense for yoyoing). But it also runs a high risk of cracking/breaking into pieces if it hits the yoyo, or the ground, or even the user. Clay also shrinks when fired, so you would have to do test runs to make sure the counterweight hole doesn’t get too small once fired.
The plastic counterweights are reliable because they are more durable.
I’m not saying its a bad idea. It would be awesome to do it for your own personal use, but I don’t think they’re the smartest choice of counterweight.
Have fun if you do make them. And be sure to let us know how they turn out