Is there a name for "physical things out of which one can build a Turing machine"?
Physics models reality with theories that define a concept of time-dependent state associated to a system and a time-evolution operator that describes how this state evolves. As soon as you find a physical system that (after some state-space discretization) implements the state space of your Turing machine, and that features interaction terms that implement (maybe after some time discretization) the time evolution according to the state transition table of your Turing machine on its state space, you have found a Turing-complete physical model of your system. Thus you can arguable say, your system "is" Turing-complete. 

When looking at quantum computing, you will find discussions of implications physical theories have on the Turing model of computation. For example, physical theories have to be reversible. A property, which is not shared by ordinary Turing machines. Yet there is no loss in generality, as any Turing machine can be simulated by a reversible one, with some overhead that can trade-off time vs. space, etc.