well nickel and zinc plates steel isn't great because welding it makes toxic fumes, but honestly i use it pretty often for non-structural projects and it's fine as long as you dont breathe the stuff in for sure. my procedure is open the garage up completely and get my really strong fan pointed directly at me, blowing outside and keep the other door open for air flow. i never breathe when i weld as a precaution, and the fan helps drive off any leftover fumes.
you can grind off the coating on the outside but you'll still have the inside stuff, so dont think ur safe if you grind it. also, if the steel is coated and not plain steel, the spark will be green and not the normal blue.
with that disclaimer through, a good source of cheap and strong (for our uses) steel tubing is chain link fence top bars. my home depot has them at 10 feet for $10, 1.25" 17gauge steel. it's good for making stuff for the house, a little thin for bending, and its light enough that you could use it for a kart chassis.
BUT REMEMBER IT'S PLATED FOR RUST PREVENTION, DONT BREATHE THE FUMES.
it's cheap enough to practice on, but it's got its issues.
i guess the bottom line is, you shouldnt be breathing in flux fumes anyway so "technically" it shouldnt matter if the stuff is plated or not, but it's worth always taking precautions.