That assumption is absolutely correct: To walk on lava, you first need to unlock the Promethean Insulators—by my count, the only core traversal upgrade you can stroll right by if you’re not careful.
You can’t nab the Promethean Insulators until you reach Returnal’s fifth biome, the Fractured Wastes.
Once you make it to the Fractured Wastes, you’ll quickly come across an antechamber with four branching paths.
You’ll find a pedestal on the far side holding the Promethean Insulators, which, once equipped, give you “immunity against extreme elements”—or what you and I may describe as “you can walk on lava.” The Promethean Insulators are one of six permanent upgrades in Returnal, so once you get them, you needn’t worry about going through these steps again.
During my first few runs through the Fractured Wastes, I completely missed this upgrade.