Slag is the by product of the smelting process that contains the unwanted contaminants. The exact composition of "slag" varies depending on what metal is being refined and what process is being used. Limestone is used in steel production as a flux which combines with things like sulfer and phosphorous, and then floats to the surface of the charge where it is skimmed off.
I grew up in Michigan when iron and steel was still in production there and many roads were made with slag, commonly referred to as "cinders". This stuff is not friendly to either feet or tires, especially large chunks of it- it is like bubbly asteroids with extremely jagged surfaces. I had never heard of slag being used for blasting medium, but I think it would be a good, aggressive abrasive. This material was also used to make lightweight cement blocks because it contains a lot of air pockets- kind of like pumice. This is where the term "cinder block" comes from. I suspect the product that Russel is thinking of is actually post combustion cinders from coal power plants, or possibly "shaley" coal , that is shale that is not quite coal, layers of which can be found adjacent to usable coal seams. Coal can be used in any size, a lot of modern power plants actually use powdered coal and "spray" it into the combustion chamber.