The answer to this question depends on how heavy you want the colosseum to be and how much time you have.

Use playdough if you don't have much time. Your project might be heavy when you are finished, but the dough will allow you to quickly sculpt your Colosseum. Make sure that it is not too thin or it will collapse or crumble. You also want to monitor the whole cracking aspect of this dough. Clay might be another option for you and your group.

Styrofoam is the option to choose if you have a bit more time. This stuff is nice and light weight. You'd be able to build something that wouldn't fall over so easy and it would be a breeze to transport. The downside is that carving the styrofoam takes some time and can be very messy. You should invest in a good way to cut the stuff as well. A nice sharp blade will go right through.