Conjure Volley is a 5th level Ranger spell:
You fire a piece of non magical ammunition from a ranged weapon or throw a non magical weapon into the air and choose a point within range. Hundreds of duplicates of the ammunition or weapon fall in a volley from above and then disappear.
If you use magic to duplicate non-magical ammunition, can the result damage a Werewolf for example?
Here's the relevant part of the Conjure Volley spell description:
A creature takes 8d8 damage on a failed save, or half as much damage on a successful one. The damage type is the same as that of the ammunition or weapon.
Here are the immunities for a werewolf (SRD, p. 331):
Damage Immunities bludgeoning, piercing, and slashing from nonmagical attacks not made with silvered weapons.
Conjure Volley isn't a 'nonmagical attack'. It's not an attack of any kind: it's a spell that does damage.
Contrast with a black pudding, which is just immune to slashing damage. Conjure Volley using (say) handaxes would do zero damage to a black pudding, but full damage to a werewolf.
In a tweet1, Jeremy Crawford clarified (emphasis added):
Regardless of damage type, the direct damage of a spell is magical.
Reading the text of Conjure Volley we see the following:
A creature takes 8d8 damage on a failed save, or half as much damage on a successful one.
Thus, we can tell that the spell itself is the direct source of the damage. The spell uses the same wording for damage as Fireball, Maximilian's Earthen Grasp or Blade Barrier, and those spells are all distinctly magical, as they all directly cause damage.
The spell effects for these examples are not the direct source of the damage that may result from using these spells, so they are not necessarily magical. In the cases of the above spells, the damage is indirectly caused by the attack actions of the animate objects, or through the attack actions of an enlarged creature.
However, Conjure Volley does not indirectly cause damage. The spell itself directly causes damage, because the text of the spell says that it causes damage, the amount of which depends on a saving throw. Thus, because it is direct damage from a spell, the damage must be magical.
Relevant parts of the spell:
You fire a piece of nonmagical ammunition from a ranged weapon or throw a nonmagical weapon into the air and choose a point within range.
The damage type is the same as that of the ammunition or weapon.
This is very, very clear. You use non-magical ammo, and the damage dealt is the same as the ammunition used. Which means it's non-magical.
There's also precedence that just because magic creates the damage source, it doesn't mean the damage is automatically magical. For example, Create Undead makes minions for you, but their attacks do not count as magical unless their stat block specifically state that they do.
Here's a comparable spell that takes a mundane weapon and makes it magical:
Shillelagh, PHB pg. 275 (emphasis mine);
The wood of a club or quarterstaff you are holding is imbued with nature’s power. For the duration, you can use your spellcasting ability instead of Strength for the attack and damage rolls of melee attacks using that weapon, and the weapon's damage die becomes a d8. The weapon also becomes magical, if it isn’t already. The spell ends if you cast it again or if you let go of the weapon.
This is how you know if your spell counts as magical. It will explicitly state it in the description. If it doesn't, the damage type is NOT magical by default. Conjure Volley and Conjure Barrage lack this statement, so their damage type is NOT magical in nature.
Here's an example of a spell that creates ammo for you that is not magical:
Swift Quiver, PHB pg. 279-280 (emphasis mine):
You transmute your quiver so it produces an endless supply of nonmagical ammunition, which seems to leap into your hand when you reach for it.
