Putting insulation inside the blocks is a waste of time and money. The concrete will allow the cold to travel into the house anyway.
You really have only one option and that’s a continuous insulation sheet either inside or outside, or perhaps both. To save on building out every window and door opening you would probably want to use some form of sheet foam insulation, taped at all joints, and then covered with siding outside or drywall inside. The window and door frames would probably still have to be built out an inch or two, but not nearly as much as they would if you tried to add another 6″ thick wall inside the house.