I have searched in Internet, but I have not found the material. It couldn't be copper, because a short circuit would occur, and it couldn't be Nicrom, because Nicrom was not developed until 1905, and Joule did his experiment in 1840. Could the material be iron or steel? Thank you in advance.
"It couldn't be copper, because a short circuit would occur" Not if the copper was in the form of a long thin wire. Solenoids, for example, are coils of enamelled copper wire and are usually designed to be connected across supplies of a few volts. They don't usually even get hot! It would be perfectly possible to make a heating coil from copper wire.
Edit: He used various metals, including iron, copper and mercury. A transcript of an 1840 paper of his is available on this Royal Society website: https://royalsocietypublishing.org/doi/full/10.1098/rsnr.2020.0027