It depends what width and offset you want...which in turn will partly depend on what size tyres you want.
Do you want standard A2 15" tyre sizes such as 165/65R15 and 175/60R15, or non-standard sizes such as 175/65R15, 185/60R15, 185/65R15, 195/55R15, 195/60R15, 205/55R15.
A good starting point could be 185/60R15 fitted to 6Jx15 ET29 steel rims from the Audi A1. These rims are a 20 hole design like the standard Audi A2 steel rims. The ET29 offset means that these wheels will be pushed out to the edge of the wheelarches like it does on the Audi A1. Also consider 5.5Jx15 ET40 if you like your wheels a little more tucked into the wheelarches...less chance of kerbing them, etc.
If you want to consider non-standard 15" tyres, then you might also want to consider 14" tyres such as 185/65R14 fitted to either 5Jx14 ET35 or 6Jx14 ET38 steel rims.
6Jx14 ET38
Here's a list of 15" steel rims that will fit (they are all 5/100 57.1):
5Jx15 ET28 (20 hole design)
5.5Jx15 ET34 (20 hole design)
5.5Jx15 ET40 (18 hole design)
6Jx15 ET29 (20 hole design)
6Jx15 ET35 (18 hole design)
6Jx15 ET38
6Jx15 ET43
You can find out the OEM numbers for these rims on VW online parts catalogue websites such as
http://www.oemepc.com/
5.5Jx15 ET40
6Jx15 ET29
6Jx15 ET38
Some tyre sizes tend to be more expensive than other sizes. 165/65R15, 175/65R15, 185/60R15, 185/65R15 and 195/60R15 tend to be cheap sizes. 195/55R15 and 205/55R15 tend to be expensive sizes.
mytyres are listing 5.5Jx15 ET40 steel rims at £34.30 and 6Jx15 ET29 steel rims at £36.40
oponeo.pl is a good website for viewing photos of these steel rims.