I made an insulated roman shade out of pieced fabric and it worked very well. Believe it or not it was not that difficult. Joann's' used to sell (and may still sell) an insulated product that was like thermal batting. They also sell roman shade tape with rings that you can stitch to the sides of the shade about 3" in from the outer edge and up the center of the shade if the window is wide. Run a separate cord through the rings on each tape and across the top.
Add extra to pull the shade up and down and the shade will pull up in nice pleats. I pult a cleat on the door to hold the cord while the shade was up. There are a lot of detailed instructions out there; or you can buy a commercial pattern for a roman shade in the home dec section of the pattern books. Good luck, this worked best for me and kept the breeze out of my drafty door window.