There are a number of hotels in Downtown Pittsburgh (i.e. Westin, Fairmont, Wyndham, Renaissance, Omni William Penn). Unfortunately, none of them are particularly cheap.
If you're seeking inexpensive lodging, I'd recommend staying in Oakland, where the University of Pittsburgh is located. It's only a few miles from the concert venue in Millvale. There are some reasonably priced hotels in the vicinity (Hampton Inn & Quality Inn). Plus, there are better dining options in Oakland.
Hope this helps.