The traditional cathedral windows quilt winds up being quite heavy without batting. Jenny's version gives a bit of the look of a very large cathedral windows block but isn't put together in the same way. If you put batting between the circles before sewing around them, you would have to trim it pretty harshly to turn the circles, and then you would have multiple layers of fabric and batting where the circles are turned back. I don't think it would work very well. If you really want to make this quilt with batting, another option would be to complete the quilt as Jenny shows it, then sandwich it with a quilt back and batting and quilt it. You would then have to bind or face it, so that would be another step.