It would be cool, especially with advances in plastics you could layer over the steel to protect it from corrosion like what they do with soda cans.

For reference, a steel or aluminum SCUBA tank is usually filled to 3000psi and when I fill steel tanks I can hear and sometimes see the metal start to slightly balloon. This is normal because steel is not brittle but it is very strong.

There is a lot of rules put in place for safety though. A tank has to be visually checked by a professional every year and hydro statically tested every 5. The danger is any rust/corrosion weakening the metal and causing it to rupture. More often seen in aluminum tanks, which is one reason I prefer steel.