What you describe is not all that far from how many professional last companies work right now. Yin Hwa, for example, still has a model room in Portland. Many of those operations work specifically for last-specific lathes and milling machines, such as those from Newlast. But it’s possible to mill lasts in general-purpose machines, too. Perhaps slower.
You may have seen my post on German thermoplastic polyurethane for last casting. The other clear option is HDPE, the go-to material for mass producers. It’s safely meltable at kitchen temperatures, without substantial hazard below burning temperature. It’s really common in consumer liquid containers. You might like to check out:
People are melting down and reusing HDPE in things like panini presses, then molding in melamine and carving or turning down. It works.
I know far less about additive 3D printing, like with PETG. But I see internet shoemaking friends doing that, often by doing the last division on the computer and printing in separate parts, to fit within the working areas of their printers.