The sand is usually used as a leveling media. The steps or anything else put on the ground will only be as strong as the dirt beneath. If the pieces are large on the bottom it should spread the load sufficiently to carry the load from the other concrete above.
There are to many variables between soils from on location to another that it would be imposable for anyone to judge your particular circumstances.
Briefly, sand and sandy loams are fairly stable. Clays can be stable or expansive (Expand and contract with the amount of moisture in the clay). Proper drainage and compaction are necessary for all types. Load bearing strength is an entirely different issue.

Mirilla---do you have any pics of the stairs that you could share? We're collecting sizable broken concrete chunks from a neighbor's torn-up, stamped driveway to use to create stairs on our sloped side-yard. We haven't started the actual project yet. Did you have a set of plans, or directions, to work from?

Thank you!
Tracey