Cobb walls are great for thermal mass and lousy for insulation. So, while it may be ideally suited to mild climates, I would freeze to death here in Michigan if I had Cobb exterior walls.
Various estimates for the r-value of Cobb ranges from, r 0.3 per inch, to r 1.0 per inch at best. So if your wall is a foot thick, which is a lot, you will have between r-4 and r-12 at best. Framing, windows and penetrations will make the overall r-value even worse. In my neck of the woods, I want r-40 or better in the walls and the ceilings and the basement, if I can get it.
Finest regards,
troy