There is no requirement for exterior walls to be cavity - even in the building regs. What is required is that they resist moisture passage to the inside face, and there are lots of ways to achieve this.
A thermalite block can be used for the exterior wall, but the external face will normally require protection - mainly from frost. If it is sheltered (normally the side by the neighours fence) then it will be fine, if not a render or water resiting coating should be applied. I doubt anyone would want a conservatory with visible thermalite blocks anyway.
Internally, a drylining with or without insulation will make it as good as if not better than a solid 9" wall found on the majority of houses around the country