The question is far too vague, since there are countless different materials and finishes you can achieve.
Particularly for an art gallery, where they'll be going crazy on the finishes - they could be using old plastic shopping bags, wool or pretty much anything.
I don't see how blue is warm and cozy, unless you mean baby aqua or something like that. Blue is the universal cold colour. Blue ice / icey blue water / feeling blue / the blues.....
You need to specify what you're after more. Or show pictures of something similar.
You're also not saying what you mean by cover. You mean as a mechanical layer that looks good, or a decorative coating over it?
Generally, you'll probably want to use plasterboard to cover the wall, then put something nice over that.
All the fittings and methods of working with walls are biased towards plasterboard, and the material maintains fire ratings. For example, if you made a dividing wall out of plastic in a public art gallery, building control would probably have a complain that a fire is going to go straight through it, and tell you to take it back down and fix it before they'll sign the place off as safe for the public.
Cork is warm and cozy looking, it also looks artistic and organic, and is actually a semi-decent insulator.
I'm not trying to get at you, but MOAR details or an example are needed. Then I might be able to suggest a specific way of doing it.