Yep, black powder guns can start fires. I've had it happen to me.
Years ago, I was shooting prone with a .45-70 rifle and black powder cartridges I'd assembled. The muzzle was just above some high, dry desert grass.
The first shot, a flame suddenly started in the grass. I was able to stomp it out quickly enough, but if I hadn't noticed that flame, it might have got away from me.
I ensured there were no embers by ... um ... wetting the area with a ready supply of "distilled water."
Back to revolvers ...
I've seen wads leave a trail of smoke about 20 feet in front of the muzzle. I've even seen a few smolder for a second or two on the ground. For this reason, I do most of my shooting in a gravel pit, devoid of any vegetation, or wait until the winter when the Utah desert is wet with snow or recent rains.
Yep, it snows in the desert. Rains too. We always get more precipitation in the winter than the summer.
But black powder guns are not the only offenders when it comes to starting fires.
In my vast unbroken set of American Rifleman magazines (December 1928 to last month's issue) a reader wrote in back in the 1960s.
He was using a home-brew bullet lubricant for cast bullets in his M1 carbine, and had made a bullet trap of compressed newspaper, as I recall.
After a few shots, the bullet trap box started smoking. He dug into the trap and discovered that the home-brew bullet lubricant had apparently started a fire in the box. As I recall, he tried a few more shots and got the same results.
I'm not listing that bullet lubricant recipe for obvious reasons.
Steel-jacketed or steel-cored bullets, such as are found in the 7.62 X 39mm round, can start fires in rocky areas. They do so when the steel bullet hits rocks and causes sparks.
The propensity for steel jacketed or cored bullets to start fires in rocky areas was documented in another American Rifleman, back in the 1990s as I recall.
Of course, tracer and indendiary rounds are notorious for starting fires. That's why their use is banned on state and federal lands, except without permit or at approved ranges (military, police, etc.).
Incidentally, not all tracers are marked as many believe, with a red or orange tip. That's a NATO standard of identification, following the American standard that dates to the 1930s or so.
Back in World War I, .30-caliber tracer ammo was marked by having a blackened case.
Many foreign governments marked their tracer and incendiary ammo with headstamps, or the color of the sealant around the bullet or primer. It's all a jumbled mess when it comes to identifying what kind of ammo you have, especially the more obscure ammo.
If you don't know what kind of ammo you have, seek out identification. The internet is a good place to start. An inquiry made to a cartridge collector's board will help.
How to find out if your bullet is steel-cored or steel jacketed? Place a magnet on it!
Amazing how the obvious always escapes us, eh?