Organic-inorganic hybrid vesicles of the polyhedral oligomeric silsesquioxane (POSS)-based star block copolymer of poly(N-isopropylacrylamide)-block-polystyrene [POSS-(PNIPAM-b-PS)(8)] were synthesized by polymerization-induced self-assembly via reversible addition-fragmentation chain transfer (RAFT) polymerization employing a POSS-based macromolecular chain transfer agent. The average diameter, the membrane thickness, and the cavity volume fraction of the POSS-(PNIPAM-b-PS)(8) vesicles are 212 nm, 21 nm, and 52%, respectively. The POSS-(PNIPAM-b-PS)(8) vesicles exhibit good thermal stability and have 12% higher Young's modulus than the vesicles of linear block copolymer counterparts. Due to the high mechanical strength, the POSS-(PNIPAM-b-PS)(8) vesicles can keep structural integrity in the dried state. The coating of the POSS-(PNIPAM-b-PS)(8) vesicles is prepared by casting the dispersion of the star block copolymer vesicles at room temperature, and then, its application as a thermal insulation coating is investigated. It is found that the POSS-(PNIPAM-b-PS)(8) vesicles can be used as qualified thermal insulation materials with the thermal conductivity as low as 0.131 W/m.K.