I can't be sure this would work for your purposes, but I have had luck using money clips altered a bit for such things before.
Some of these are made folded to be 3 sides, so something ornamental can be attached. So using this part that is for 'show' and adding the sheath to that part still leaves a another part of the clip to attach to a belt, waist band or inside a waist band.
Many custom leather shops and Tandy carry such things.
Also you might find sheets of many kinds of plastics might lend to this, but i don't work in plastics very often. You would need one you can heat, bend and form.
Most often if I am working up an idea this way I will make a brown paper bag pattern first.