I'm not a pro...but if I was hit with this problem, I'd make sure that the pipes were as close to the inside wall as possible, and then I'd consider using a foam in place insulation - it doesn't leave voids and has a much better R factor than fiberglass. This could be problematic if you needed to repair the valve and it might mask a leak. This may mean that your choices of a shower valve may be limited, since many of them are fairly deep. I know that Grohe makes a surface mount tub/shower valve assembly, don't know if they or others make a surface mounted shower only assembly. If you go this route, then all of the guts are outside of the wall, only the pipe is inside (and you should be able to get it closer to the inside wall. You may not like the looks of this. I did it on my shower because there is a pocket door behind it, and I didn't want any interference possibilities, plus, the granite I put up I wanted to stay for a long time nonwithstanding the valve.