Saying "[x] does not refer to [y]" is a negative claim dude. Saying "[x] refers to [y]" is the positive side of it. And either way, I found something really interesting that proves the world itself isn't really made of clay, thanks to
this article. According to this interview:
"First, GameSpot asked about the role that clay plays in the game. Kazuhiro Yoshikawa and Teruhiko Suzuki - the game's supervisor and art director, respectively - answered this question and the response was rather surprising. They stated that the clay style is merely surface level and that it's more of a way they wanted the player to perceive the world of Kirby in this iteration."
The response that Yoshikawa and Suzuki specifically gave was:
"We weren't really thinking about Kirby being made out of clay in his own worldview, but rather, we're just using clay to express his softness and his ability to transform. So, you wouldn't actually see him picking up clay from the environment, in the same way that you wouldn't see him dissolve if he happened to fall in water in this game world. This was a very important idea that was defining some of the boundaries for designing the gameplay... We just wanted to find a way to bring some of the expressiveness of that clay animation and that stop motion animation style, not necessarily referencing the actual material. So you won't, for that reason, find Kirby mixing with other bits of clay in the game for various gameplay mechanics."
So yeah, it's not actually a clay world in the literal sense. It's more of a lens of perspective for the player.