There are two possible answers. Under the point-particle physics
of today, a neutrino is an elementary particle, and as such, it is
not composed of anything but its own material. The other answer
exists under string theory. In string theory, elementary particles
are all made up of the same material, one dimensional strings.
These strings vibrate at different rates to create the different
elementary particles. Therefore a neutrino would be a string
vibrating at a specific rate unique to neutrinos. If it vibrated at
any other rate, it would not be a neutrino.