Volcanoes tend to appear in mountainous igneous extrusive biomes, which means you may be hard pressed to find flux, coal or wood. You won't need it for fuel, but you will still need it for steel making. If you don't feel like searching hundreds of worlds for a volcano next to sedimentary stone or in a forest, your best bet may be to breach the first cavern for wood (or make tree farms underground once the caverns are opened up), or trade for wood, processed coke or charcoal.
Which is why you're having a hard time.
I'll ask this question.. Why do you need or want a volcano? If you can give it up, the embark you want is trivial to find.
Yeah I knew that, so I generated a new big world and ignored the mountains (actually it's ridiculously easy to get a volcano with flux), then using dfhack I went through many many sedimentary multiple/multiple search hit areas and I think I found one possible embark with lignite... from out of 70 test locations or so. I didn't see a single place with bituminous coal

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Anyway volcanoes, steel, terrifying biome, aggressive neighbours are always so much fun so I was just asking if somebody had an worldgen/save in the backpocket to offer