There is no reason why Tenkara flies should be any more expensive
than any other, if you tie your own, no problem. A lot of them are reverse hackle
flies, which are no more difficult than softhackle flies you are all familar
with.
Chris Stewart uses quite a few well known non-Japanese flies.
Sawyer's Killer Bug is a prime example.
Now, I admit I have never, yet, fished with a Tenkara rod, but from what
I have gathered, Chris has done quite a lot. So if you think the flies are too
expensive, get tying, and use your smaller unweighted wet-flies.
Have a look at the Italian Alpine, Reverse Hackle and Tenkara sections
on my site, plenty of ideas there.