Sound is actually vibrating air molecules. This is not the same as moving air - hence why sound can come through walls, although it is hindered as it does.
I suspect (assume?) that the sound that is bleeding between bathroom and bedroom is low frequency sound. A brick wall is going to be excellent at stopping the sound, unless it's not isolated from the vibration of the water through the pipes.
Which leads me to my second assumption: are your pipes mounted to the brick? If so, that's going to be a big source of the problem. The vibration of water in the pipes will vibrate the brick, which will vibrate the air in your room. It will sound like a low frequency rushing sound.
Additional sources of sound will be the water on the bottom of the tub, which will vibrate the floor. Low frequencies love to go around objects and make things rumble.
All that being said, if your rooms share a door then that's probably most of the problem. Typical interior doors don't stop much sound.
- If your problem is pipes mounted on the brick, you will need to remount them using some sort of isolation bracket (search for neoprene isolation bracket).
- If you are drywalling over the brick, build a soundproof wall (isolate it from the brick).
- If the sound is coming through the door primarily, this is much harder to fix. Interior doors are supposed to allow airflow, which is the enemy of soundproofing. You could weather-proof it and install a heavier door (heavier means better at soundproofing) if you liked, but it will be hard to get good isolation here.