There are thousands of species of wasp, not even counting bees, which strictly speaking are a subset of wasps. Various species of wasp make dozens of types of nest of several types of material, ranging from burrowing in earth or wood, to making nests of mud or pebbles, all the way to the nests that I suspect you mean. These would be the various kinds of "paper wasps". They make their nests of what you might best call "Papier-mâché". Wasps make their papier-mâché out of all sorts of fibrous stuff, ranging from fur on leaves, pith from dry stems, to shreds chewed from rotting wood. They glue the material together with whatever they can, but largely using their own saliva. I do not offhand know of any wasps other than bees that use wax or plant-derived gums (propolis) but I should not be stunned to hear of a few examples.
Bearing in mind that papier-mâché literaly means "chewed paper" you can take it that "paper wasps" literally use papier-mâché. However, there are over 1000 species of paper wasps in several subfamilies of the family Vespidae, plus a few in the family Sphecidae, genus Microstigmus. (You were just waiting to hear that i am sure! ;-) )
But the reason I mentioned Microstigmus is that they add yet another material to the list; they bind chewed plant material with a special silk!
Sorry to cloud the issue! :-)
And oh yes, almost forgot: they recycle the papier-mâché like billy-oh. When a paper wasp is in a building mood and building material is in short supply, it is quite likely to pinch papier-mâché from the cells that a neighbouring wasp is using to build with. This can develop into highly unconstructive competition. Quite human these wasps can be!
Jon