1.) I honestly think you may have just missed a village if you really did explore the ENTIRE map.
2.) Those pyramid type buildings were most likely Desert Temples, so be lucky you got those lots of people complain about not having any temples.
3.) In order to populate an area you first need to build at least one building, house for the villagers, and then "heal/cure" 2 zombie villagers close to that created house. Adding more buildings (mainly DOORS!!) will get them to spawn more villagers.
4.) Clay is usually found near the bottom of lakes/ponds/oceans stuff like that.
That pryamid (AKA desert temple) has 4 loot chests in it. To get it, go inside and find an orange wool block, one of the four on the outside of the blue wool blocks. Dig next to that orange block until you get to the bottom of the treasure chamber. Be careful! There's a stone pressure plate beneath the blue wool block. Once you get to the bottom, break the pressure plate, and remove all 9 pieces of tnt under the sandstone where the pressure plate was. You can then loot the temple.
The best way to find clay is to get a night visison potion (brew a golden carrot into and awkward potion) and get a helmet with respiration (Enchant a gold helmet, they have the best chance of getting good enchants) Clay is usually found on the sides and bottoms of rivers, and oceans, and is most abundant and easy to collect in swamps.
To make your own village, just build one. Make sure you put lots of doors on the outside of the buildings (For villager breeding). Then cure two zombie villagers (Put them in separate pens) and let them breed.