Nope, they aren't a different material and yes all the exogini were produced in Greece.
One of the most hot topic inside the italian community is the rule of collecting the figures only sold in Italy, most collectors do that but obviously we can't be absolutely sure, and there are quite a few collectors out there that are not active or known.
The reason is because a figure sold in a country in limited quantities isn't as rare as the same figures sold in another. E.g. Some black cosmix figures are WAY common than the italian counterparts (luckily the cosmix plastic has a distinct smell and it's easy to spot that, but you got my meaning)
In the recent years we experienced a flood of greek figures, and sadly the italian market has been "contaminated", I tend to collect/trade/buy/sell only from trusted people and I keep the figures organized by country because I like it that way.
Speaking of colors, certain colors were produced only for specific countries, but in the end, in Greece you can literally find tons of colors, the most of them exclusively sold there.
Fer example the blue is the color that has more shades and variants than anything else, but is not totally impossible to recognize the greek figures, because the italian colors and variants have been documented pretty well and even if they are practically identical is still possible to tell them apart.