I was wondering what Kamehameha is made of? Is it Chi or Ki or some kind of energy, or power of blue star, or something kind of pure energy?
Like you mentioned, the Kamehameha is made of Ki.
In the Dragon Ball Episode 8, The Kamehameha Wave, Yamcha describes what happens when the Kamehameha is used by Master Roshi:
"Wait, I've heard of this technique. Right now he's gathering all of the latent energy in his body, then he's going to release it all at once, but I've... I've never seen it in action before."
Here, "the latent energy in his body" is Ki. And "release it all at once" refers to a Ki blast.
Therefore, the Kamehameha release the accumulated Ki from the user body and shapes it into a wave.
From Dragon Ball Wikia:
By drawing his latent ki into the palms of his hands, Roshi is able to expel an explosive beam of ki energy.
The kamehameha is made of plasma. Plasma is the fourth state of matter that is an ionized gas that is created when a gas gets heated(sometimes by electricity). Now all living things have an electrical charge. The user of the kamehameha (or any other ki based atk), is using that electric charge to heat the gas around them causing the blast. The gas is extremely hot so it can destroy objects, like in the manga.
Look up plasma on Wikipedia