In theory you can make the container from any thin fabric: duct tape, paper (eg dollar bill), animal skin, or even a leaf. Last night I tried with a large leaf secured with some paper clips. It collapsed on the fire - I think the paper clips may have softened in the heat, enough to lose their grip.

It's tricky. The water is what stops it burning, so anything above the water line is liable to burn (or melt or whatever). But if you put holes in the fabric below the water line, the water leaks out. You need to support the container over the fire somehow. Some kind of scaffolding around the outside of the fabric might support it and provide anchor points, but if it's too thick the water won't cool it.

If you have some snare wire in your PSK, you could probably use it to fashion the support of a small basket, then line it with a large leaf for water-proofing.