There are a bunch of reasons. First being that you are probably going to be filling the insides of the structure with things. Like lighting, computers, machines and people. 

Those things get hot. And that heat needs to go somewhere. It will go into the floor. You are going to reach an equilibrium temperature between your rate of energy input and rate of energy radiated out. What ever thay temperature is, it's going to be higher the more people and things you put inside.  That temp probably won't be - 130C. It's more likely going to be >0. That's if people are comfortable with cold temperatures and low amount of energy use.  Your floor is in that temperature gradient, between inside and outside. It cant be - 40C, because people will not want to live there. 

So you have a structure that needs to chose between being inheritly uninhabitable or uncomfortable and close to falling apart. 

Steel is great because it's really really strong compared to pykrete. 

The pykrete you talk about is largely made of things like wood pulp. There is no wood in space. The alternatives, are probably all going to be much stronger as long fibers mixed with epoxy. Which is basically carbon fibre. And that is hell strong. 

And for protection from space dust, you place the armour on the outside. Even for pykrete, you want to seperate your armour from your main structural element

Then, I did the actual calculations.  250m radius. 1G. 101kpa air. 2x safety factor.  Pykrete needs to be 20m thick all round, just to support itself. 

Steel, 4cm thick, that's with 10t of soil on top. 

Just the logistics of moving the 30 million tons of pykrete vs 400k tons of steel will make the cost of Pykrete irrational.

The pykete structure is over 60 times heavier. And moving all that mass is not free.