Thank you for your post.
There currently isn't a wall type that will achieve this but I've passed it onto the development team for further discussion. However, there is a work-around that can be done which the steps for have been explained below.
1) Use the Solid Wall wall type as a base for the wall.
2) Use the Wall Surface Tool to create the external polystyrene & brick skins (materials will need to be created).
3) Use the Wall Surface Tool to create the plasterboard & internal polystyrene skins (materials will need to be created).
Please note that window & door openings will need to be added to the the wall surface skins. Also, if it's needed, using the Recess Window field will help align the windows in the wall.
Would you be able to please let me know if these work for you?