What glass-like material to use for a weapon prop?
It looks like it's meant to be translucent, even illuminated inside. So I'd be tempted to look into casting silicone for the blade, with a hollow core of the right colour, illuminated. Hollow saves weight as well as giving you somewhere to put the LEDs. To do that you'd make a positive master out of softwood and then a mould from that.  Making that blade shape from a single piece of softwood is the work of an hour or two with jigsaw, plane and sander. I'm half way through making a toy sword from softwood:



Another option to try would be working plastic (acrylic or polycarbonate) directly but it's hard to shape with a plane and you won't achieve the 3d shape of the blade with just a saw.

I'm not saying it couldn't be done with thermoplastic, but not by melting - you can't achieve the temperature control to avoid burning unless you've got very fancy kit. And it's the wrong shape to vacuum form. What you probably could do is make a a blade from several sheets solvent bonded together to give a stepped cross-section then sand out the steps. Lots of plastic dust means you'd need good dust extraction.  I've just been sanding some plastic sheet (probably acrylic) to clean up cut edges and make a frosted surface, and it doesn't sand very quickly.

The simple and cheap option is just make it out of softwood and rely on an impressive paint job to get all the colour effects.