I have, on occasions supplemented light clothing by adding 'found' insulation. Usually this is a light jacket that has a thin lining and typically I stuff in a few sheets of newspaper after it has been crumpled and flattened a few times to make it soft and increase its insulation value. Several layers of news print treated this way and laid in flat between the lining and exterior gives the jacket another twenty degrees of warmth.

Sphagnum moss, the Spanish moss that hangs on trees in the south has long been used for padding and insulation. It serves quite well in this roll as long as it is at least mostly dry. On the down side the moss is often inhabited by tiny red mites. Exposed to human skin they burrow in and itch like crazy. These infections can take days, sometimes weeks, to clear on their own. I suspect that other natural materials might have similar passengers.

One thing that goes in your favor is that the material used needn't have much insulation value on its own. Anything that holds the two sides of cloth apart will increase the insulation value of the assembly. Pine needles come to mind as remaining relatively dry due to their water repellent properties and even though they don't have much insulation value in anything but very deep layers a thin spread of them might serve to keep the cloth sides of each pocket perhaps a quarter or half inch apart.

It is an interesting idea. But, is suspect, more suitable to a homesteader, than a person caught in a random survival situation. A homesteader could over time take note of available resources and gather them when they are most suitable. A person thrown into a situation might end up finding nothing suitable and would, driven by the time demands of being found or self-rescuing quickly, have less time to carefully gather materials to allow the jacket to be used effectively.