As I understand it, the idea is to get dense material between you and the environmental hazards. You want to make a secure room in the middle of the house. Here's my wild idea:

Where does it say that your dense material has to only be in the walls of that room?

You've got numerous walls from the entire house that you can modify. It might be cheaper or easier to modify numerous walls, so that you have varying thickness of materials at different places of the house. This would help avoid problems with extreme weight on one room's walls alone.