This is really interesting and some dedicated hobby engineering. I considered that steam could give you lots of power for a robot several years ago but never got around to trying it, mainly due to the hassle of burning fuel and dealing with the smoke and steam that result.

Perhaps a practical solution requiring less dedicated engineering would be to use a portable petrol generator on a mobile robot, this would give mains (outlet) electricty at 500W + of power with a running time in excess of 4 hours so you could power almost anything required from it on board the robot. Or, how about a petrol powered compressor to power pneumatics/hydraulics if the robot had legs and required piston type actuators... would have to be outside anyway due to exhaust fumes.

As far as a suitable controller goes, what about morse code over a wire, or blowing air down a tube in order to mechanically couple it the other end?.