those are called light pipes and are generally made out of translucent colored polycarbonate just as our caps are. however, it's not really possible to make keycaps that also double as light pipes for the MX1a switch given the datasheet LED placement. basically, such a keycap would have to be solid around the cruciform. MX caps can't be sold around the cruciform for obvious reasons (actuation!).
that said, there's a little room to play around with. if someone can find an O-ring material that is translucent (finding one shouldn't be hard, but i'm going to take a guess that any material that has this property will make for a very hard o-ring), this would at least distribute the LED light more uniformly around the switch and hence the cap. similarly, a translucent "landing pad" would do the job as well. with a perfectly clear landing pad light guide, the light will be more distributed around the cap. with a slightly more opaque landing pad guide, the keys will pop a little more when you actuate them. it could definitely be quite cool.
pretty much any other solution would require a redesign of the MX switch itself.