Big ol' can of worms here....
Here are some 7.5cm KwK 42 in what appears to be brass-plated steel;
Another brass-plated steel Kwk 42, (note the rust);
Take a look here, mostly 8.8cm KwK 43 ammo, but halfway down the page is a nice collection of various large-caliber German ammunition;
http://www.warrelics.eu/forum/ordnance-ammo/my-little-old-8-8-a-341873-3/
Brass, natural steel, brass-plated steel (note the rust on "brass" shells) and greenish and/or grey Parkerized steel casings can all be seen here.
More examples;
http://wehrmachtinternetmuseum.tumblr.com/page/94
Parkerized steel and brass 8.8cm KwK 43 ammo at Panzermuseum Munster;
I don't even want to get started on the whole lacquered / non-lacquered / no green Parkerized casings / oil-rubbed / blackend / fill in your favorite metal coating / treatment here argument........
The Germans suffered from a chronic shortage of copper throughout the war. Various types of metals, treatments and finishes were tested for suitablity in manufacturing shell casings in hopes of alleviating this problem. One of the first things the Germans did after conquering Belgium was to tear-up the Belgian brewing industry and ship all the copper and brass fermenting and finishing tanks back to Germany to make shell casings out of them.
More examples, the grey colored casing is the grey variant of Parkerized steel;
Search Missing-Lynx archives if you really want to have fun....