I haven't used the coal slag myself, but I remember reading about it being used 15-20 years ago, so it's not exactly a new thing as far as aquarium substrates go.
Granted, I don't want to be entirely dismissive, but looking through those publications, the main concern is with stripping paint, rust, etc. off of ships and such. As Sake pointed out, that's quite a bit different from our use of the stuff.
I would also think that any potential danger is mainly due from the smallest particles (dust sized), entering the lungs. After a thorough rinsing of the media, much of the dust should be removed, and once it's in the tank being used as a substrate, I don't think there would be much risk.
It is probably worth checking to make sure the coal slag being bought is not recycled - as then there would be bits of paint, metal, etc. in it that could be potentially dangerous.