My parents had a Sun room with a hot tub in the middle. Don't know what was in the wall cavities, but assuming basic stud framing. The whole interior was covered with tongue and groove cedar. Sealed not painted. They also had two skylights that would crank open. I probably would use rigid type insulation and a vapor barrier, before the cedar siding. I don't remember if the barrier goes on the cold side or warm side of the wall.

Someone that builds houses could give you more detail.

Eric