Walls – What kind of wall material produces orange dust, and how should I work with it

Sounds like plaster walls and the ceiling is gypsum boards covered with just a skim coat of plaster. My house in the midwest US has a similar setup. It was during a transition period (40s-50s) from lathes to gypsum boards so the walls have lathe and then rough and finish plaster but the ceilings have gypsum boards covered with a thin finish plaster.

To hang pictures and stuff, I typically start the hole with a drill to get through the harder plaster layer and then tap the nail in the rest of the way. For heavy shelves in the closets, I've drilled holes and used those plastic inserts you tap in with a hammer and then put a screw into.

Drywall anchors depend on making the hole a little bigger as they are inserted. This is a good thing, because drilled sheetrock holes may have chunks missing and the gypsum is not necessarily compacted. Inserting the anchor compresses the surrounding gypsum and makes it stronger.

Tile is, of course, not flexible or malleable, so you'll have to drill a slightly larger hole through it. To get maximum holding power, use two bits. The smaller one all the way through, followed by the larger one just through the tile with minimum drywall contact. Without knowing which kind of anchor and its size, I can't tell you what size bits to use. I would experiment by trying 1/64 inch larger increments until the anchor slides through normally.