I think maybe I wasn't clear about the vinyl windows. The problem with nail-fin installations in an existing brick wall is that the conventional place where you nail the window is on the outside face of the stud wall, which is behind the brick. You get better weather resistance by nailing windows on the outside face, but you have no access to do that with the existing brick in the way.
　
Another thing you might want to consider is re-sale value. In my neighborhood, vinyl windows or vinyl siding would bring down the value of the house as compared to wood windows or wood siding.
　
As much as I'd like to have access to research and testing if I were in your shoes, on my own house I simply went with a very established window manufacturer that I felt comfortable with. I never looked at a test result, even though I look at them in the course of specifying windows for a commercial building.

By the way...the density of the other two gases does not determine their performance in a window. Just think how much denser than air steel is. Steel wouldn't make a good insulating core between the glass, though.