They CAN run on Lava. But only the SOLID Fueled ones. Its intentional that they are no LIQUID Boilerfuels. And when you are in the Nether you could just put down a Blaze-Boiler, like Direwolf just built.
Blaze Boilers are great I have 2 36HP boilers running from a single Tier5 Blaze Shard and as soon as I have the steel for the turbines I'll probably make another 2 36HP and turbines since at last count (which was a little while ago) I had 756 stacks of Blaze rods in an extra dimensional barrel. (Cogs of the Machine is very good for rapid mob farms on average the Blazes live about 5 seconds from spawn to rod lol)