many European countries build the walls out of hollow "pot" bricks, which are of course not very strong, but have better insulation. I was surprised to learn that lots of UK clay contains a little shale oil which means that during firing they fuel themselves to some extent, so the cost of fuel for solid bricks is less high than in some other regions.
You are certainly at liberty, should you so wish, to clad the external walls of your home with insulating slabs of any thickness you wish, either on the outside or (cheaper) on the inside.
One of the reasons some European countries have much better insulation than UK homes is because, not being surrounded by the Atlantic, they tend to have longer, colder, continental winters. Homes in the US are also less temperate than ours.
If you go to southern European or mediterranean homes you will find they have much worse insulation than us.
The decision is based on how much money you want to spend on insulation, and how much money it will save you.