What kind of rocks do you have where you live? If you can find some blocky/flat, chemically inert rocks, it's simple enough to glue a few together into nifty caves. Or you can make caves out of wood. Hold them together with stainless screws, zip ties, and/or glue. I tend to prefer screws. You can countersink the heads so they're nearly invisible. As for glues, epoxy seems to work best on wood; I haven't had good luck with silicone.
You could also use terra cotta flower pots, if they're the right shape. (I don't really know what axolotls need for caves) They are generally aquarium safe and pretty cheap. If they aren't the right shape, you could probably even smash a few and glue the shards together in a shape that suits your critters. Could be a fun stress reliever followed by a fun artistic project.