There are rock and mineral shows all over the world, and for a price you can acquire a gorgeous Trilobyte fossil, a stunning Epidote crystal, or a piece of a meteorite. However, if the vendor sells you something but is unwilling to provide its provenance - where it came from - it is probably wise to get suspicious.
Kilauea volcano in Hawai'i is a case in point. It's a National Park, and it's illegal to take any volcanic sample unless you have a legitimate research permit (which the US Geological Survey has, but still uses only sparingly). Imagine if every tourist hauled away 5 kilos of lava. With hundreds of thousands of tourists over time this has a significant effect - causing visible damage to a National Park. The US Post Office at Volcano, Hawai'i, has a back yard pile of volcanic lava. They have all been mailed back by guilty people, after they surreptitiously collected a sample and took it back to Iowa... Hundreds to thousands of kilos of lava are returned each year. This may also have something to do with Pele's Curse - there are ubiquitous warnings that the volcano goddess Pele will curse anyone taking part of her away. When bad things happen to someone (bad things happen to everyone), then some people may feel it must be because they did something wrong.
This problem is far worse with archeological sites and African wildlife. As a general rule, it's unwise to buy any archeological artifact, or any ivory, because the likelihood that it has been legally obtained is vanishingly small. Archeological looters - grave robbers - operate with different degrees of impunity all over the world. There are laws against looting burials in most countries, but they are difficult to enforce, and many ancient cemeteries are littered with crude potholes. Priceless information is lost this way - not to mention who wants their grave dug up for trinkets? It's not unlike the ongoing massacre of elephants and rhinos in Africa, done to satisfy the insatiable demand of wealthy clients in Asia and the Middle East.
If you have doubts - then it's probably wrong.
The only reliable way to know the provenance of a rock sample is from the person you purchased it from. That, I would think, would be a minimum requirement to sell something like this. In the past I've bought Trilobites from Morocco, and several fragments of iron-nickel asteroids at rock and mineral shows (and a tiny piece of one Nakhlite from Mars), but I would not consider buying them if I didn't know where they were acquired - that's in part because I'm a geoscientist and want to understand things. However, it is also in part because I don't want to contribute to a serious looting problem:
There is the possibility that your volcanic bomb was acquired on federal land or private land that the seller couldn't legally poach from, and that may explain the reticence to provide a specific source. People who sell fossils, mineral samples, and meteorites at rock and mineral shows are always very careful to provide provenance as a way to protect themselves from prosecution.
Generally, to provenance an unknown-source rock requires a careful comparative isotopic and petrographic analysis - this is how experts learned that the two-to-four-ton Preseli "bluestones" from the third construction phase Stonehenge came from Wales, 250 kilometers away, for instance.