The practical problem with using magnesium (aside from fire if the coil becomes intermittent or burns open) is that it has about twice the resistance per foot yet the weight isn't 1/2 that of aluminum (for a given wire geometry). I can't see any real world benefit.
Note that in the JBL example, they are using 3.5% Magnesium as an alloying agent to change the thermal coefficient of the voice coil, but the resistivity will change much less than 100% Magnesium.
The reason Al works so well compared with copper is that the resistivity goes up less than the weight goes down. This is (in part) where the improvement comes from. The challenge with aluminum is expansion/contraction with heat, but it's pretty well controlled. Adding a SMALL amount of Magnesium in the alloy changes the coefficient of thermal expansion faster than it increases resistivity. They are not looking for a meaningful change of weight.