I read that in cold weather the ICE is on longer to keep the catalytic converter warm. So is it possible to add thermal insulation to it?
From Catalytic Converter "The normal operating temperature can range up to 1,200 to 1,600 degrees F. But as the amount of pollutants in the exhaust go up, so does the converter's operating temperature." So you would need to find insulation that works at over 2000 degrees F.
Sounds like you'd want something in the way of a ceramic insulation, up to 1800 deg anyway: Ceramic Insulation Manufacturer Something like this needs a comprehensive disclaimer, like this one: Use this information at your own risk: There is no warranty expressed nor implied and we are not liable for any of your past, present, nor future actions. Even should you perform these modifications to the letter you could still damage any number of components in your vehicle causing it to no longer function. Even if it appears to function properly your actions may cause it to self destruct with collateral damage to surrounding properties other than your vehicle. By utilizing these ideas and instructions in an attempting to enhance national security, reduce gas consumption, vehicle "emissions", your carbon footprint, or smog, you do so at your own risk & peril. Warranty: In performing some of these modifications you may void your warranty with the vehicles manufacturer. From here: Prius OEM fan control - EAA-PHEV
Once the cat is warm, it seems to take a while for it to cool off. Usually you will need the engine to run to propel the car before that happens. Insulating the cat is an idea, but they can also be destroyed by overheating. So you'd really want to do a lot of research before proceeding. I suspect it's not a good idea.