Are bricks better insulator than vinyl?
A brief google search indicated R value of vinyl siding is 0.6 and that of brick is 0.8 (https://www.archtoolbox.com/materials-systems/thermal-moisture-protection/rvalues.html).

So yes, brick is a slightly better insulator than vinyl. This website may prove useful: https://www.remodelingcalculator.org/brick-prices/      Less than 0.5 R-value difference alone cannot justify the cost differential. Many other factors must be taken into account to determine whether it is worth it--including install costs, time to install, projected length of ownership, and many subjective considerations. Good luck in making the best decision for your circumstances. The 'best alternative' is impossible to state objectively given the myriad variables and subjective considerations involved.