There really doesn't need to be. The point is, Thanos is strong, effective, and a frightening fighter. Whatever the sword is made of matters little; it just shows the weakness of human technology and ability compared to Titan.
I doubt it's Uru, seeing how Thanos seemed to have visited Nidavellir for the first time before IW, but why couldn't she have? She destroyed an Infinity Stone, for crying out loud. Maybe that's just because of her connection to them, but I digress. I do find it cool that the sword was made to balance, though.
Ooh, something I just realized, all you Quill haters finally got your happy revenge with that Rhodes punch.