I wouldn't worry too much about using simple cost-effective materials like plywood and standard stud construction. There is a good reason why standard stud construction is popular.

Yes, if someone is very determined to such construction can be sawed into using a chainsaw. Fortunately chainsaws are noisy, fairly expensive, and few thieves are organized or motivated enough to bring one. If your really worried someone might break out a saw and saw their way in find yourself some old chain-link fencing and use fencing staples to loosely fasten it to the inside of the sheathing. Power saws don't like chain link fencing and a reciprocating saw won't cut it easily if it is loose. All tools and materials have weaknesses.

Brick and block walls are quite easy to break into with a hammer. It doesn't take much time or cause much noise to break a hole big enough to step through. I worked at a machine shop, standard mesh reinforced block walls, where someone broke in with a hammer. The way around this would be to pour and reinforce each stack of cells in a block wall. Surface bonding can help and save money but the method is controversial. Bricks can be made tougher by laying them up and pouring fiber reinforced concrete behind. But all masonry is heavy, slow and tiring to work with, and expensive. Start pouring cells and adding rebar and things get really costly.

Try beating your way into a well constructed stud wall and your going to create a lot of noise and take a lot of time. Plywood glued and nailed, screwed if your a fanatic, often has to be reduced to splinters before it comes apart. OSB is less robust.

If plywood is applied vertically it can be used as a replacement for many of the normal metal reinforcements. You still need straps to hold rafters to top plates and floor to rim joists but with a 4-6-12 nail pattern the plywood is stronger than the steel straps for holding top plate to rim joist. With careful design the entire 8' length can be used so there is one less thing to cut.