Actually, most of the fiddle pegs I've seen (looking only at the really cheap places I patronize) are seldom made of ebony. It's just too expensive. The common appears to be hard maple, or similar hardwood, dyed black to look like ebony.

A good luthier should have a matched set of reamer/shaver tools to ream the holes and to shave the peg to exactly matched tapers. (These tools are somewhat expensive, so some make do with just the reamer, and rely on "store-bought" peg taper to match.) If you can find someone with a good shaver, and can cut a piece of hardwood dowel close but slightly oversize, you should be able to get whatever you whittle turned into a peg. You'd probably want to be sure that your luthier is agreeable, and suitably equipped, before you spend a lot of time making your finger bone.

While it's possible to lathe turn a peg taper, the requirement that you get the right taper and a perfectly round form at the same time makes it rather touchy. Using a peg that isn't properly formed is likely to make tuning difficult and cause unwanted wear on the peg holes.

John