Lots of things are better insulators than wood. Most of them aren't strong enough to be structural, or not better enough at insulating to bother, since generally people insulate with insulation materials that are designed to be good at that. If the thing you're describing existed, people would almost certainly build houses out of it instead of wood, unless it was ridiculously expensive. Perhaps you're thinking of composite lumber used for decking? This stuff is as strong as wood, and presumably slightly better at insulating given that it is a porous mixture of sawdust, plastic, and glue. It is more expensive though, and since it's not rated as insulation, it's questionable as to whether it's R-value is higher enough to matter. It almost always makes more sense to build the structure out of something strong and insulate that structure with something insulating unless you are not limited by space or, cost, or strength considerations (in which case you would use foamglas, aerogel, or polyurethane, respectively).
I would stick to using real insulation here. 1" of XPS foam gives you R-5 at 70 degrees, which rises as the temperature falls below that--a useful characteristic if you're insulating against cold. EPS, mineral wool, and perlite have the same better-at-low-temperatures characteristic. Polyiso is the opposite: it gets better at higher temperatures, and worse at lower temperatures.