Mind that Q factor is worse for tight spacing, than for pitch ~ 2 * wire dia. Worse still for multilayer, where the current crowding occurs between layers (particularly the inner ones), and as mentioned, worse at high frequencies compared to using litz cable -- but Q also generally goes as sqrt(F), so you might not care if the frequency content is high enough (solid wire is fine for >= 10MHz).
Aspect ratio (coil length / diameter) also matters, best Q being close to 1.
For point of reference, with litz cable, it's possible to make coils with Q factor of 2000 or more, at medium frequencies (100s kHz to few MHz). Single layer, even spaced, solid wire coils will have Q in the 100 ballpark (give or take say 3x), in the same frequency range. Tight, multilayer coils can be down in the 10-30 range. Probably, one of these ranges will be adequate for your application, thus determining the geometry.
I guess magnetic materials could still be used, 500A isn't completely insane; but it will require quite a wide air gap, even for single-turn inductors. So the result will look more like a string of beads, than a winding as such. And rather than solid (ring) beads, they would be split for air gap, or even just flat plates arranged either side of the conductor. Preferably, using powdered iron (for the higher Bsat).
Alternately, a shielding box could be arranged around a solenoid coil, which roughly doubles its inductance while shielding the surroundings -- maybe helpful if you need to pack things together tightly. The flux density outside of a coil is lower than in the center (where a core would otherwise go), so this can be reasonable even with ferrite; though it may have to be fairly thick still.
There's also machinable powdered iron / composite materials, such as Fluxtrol.
The main application for core materials here, would be if your pulse rep rate / duty cycle is high enough that the air-core inductor is getting too hot. You can either increase its size (wider and longer, thicker wire, fewer turns), use Litz, or add core pieces. Can also use tubing and circulate cooling water -- this is the only reasonable solution for 500A continuous, as for induction heating coils.
Tim