I wouldn't. I live in Illinois & find one layer of Warm & Natural plenty warm. If you want something thicker, I'd go with Warm & Plush. It's 50% thicker than W&N and is really the thickest thing I can get through my machine. I'm not really sure it's any warmer (maybe -- I can't tell though), but it gives really nice definition to the quilting. Both of those choices have kept me plenty warm on the coldest winter days.
Otherwise, as others have suggested, Hobb's washable wool is always a good choice. It is super thin but plenty warm.