Concept:
Fly ash is a fine powder produced from the combustion of pulverized coal in thermal power plants.
Step 1: During coal combustion, ash particles are produced.
Step 2: Fine particles carried with flue gases are collected as fly ash.
Step 3: Fly ash can be used in cement, concrete, bricks, and road construction.
Step 4: Therefore, the coal combustion byproduct useful in construction is:
\[
\boxed{\text{Fly ash}}
\]