filling the pick with insulation is an interesting idea.. but I doubt it would be very durable.
Filling it with some sort of nylon or plastic might work, but could crack if it got cold enough.
I dont know if this actually exists, but It would be really cool if there was a lexan tube that fit snugly inside the shaft... or even better, a thin carbon shaft that fit snugly inside the aluminum shaft. neither of these would need to have very thick walls, because the strength is in the aluminum, their only purpose is to keep snow out of the aluminum shaft, for the lowest weight penalty possible. And, if you could source some sort of lexan tube with the right diameter, and the right color, it could make the Axe look really cool.
you would also need something to plug the ends, for this, im sure plastic would work fine.