Can I replace a quick release skewer by something that needs a wrench to open?
There is a list of products here
https://www.cyclingabout.com/list-ways-theft-proof-wheels-secure-components-locking-security-skewers-seatpost-locks/
Loosely:

A set of skewer ends designed to make your wheels unremovable unless you turn your bike upside down, which would be hard without removing the bike
Various proprietary tools that mean your wheels are unremovable without the right tool
Slightly more deluxe versions with the manufacturer making dozens of different tools/keys so that there is no chance a thief will carry them around

In general you won't be able to replace your skewers with bolt thru axles unless the unlikely event you have fancy hubs that are designed to take a bolt on axle.
E.g. https://www.hopetech.com/products/hubs/accessories/axle-conversion-kit/
I suggest something like this
https://www.evanscycles.com/brand/mpart/road-allen-key-security-skewers-930614
Is a reasonably cost effective solution