You might try using copper foil, but finding it enamel-cooated would be expensive, and wrapping in a layer of ?paper/fiberglass/insulator? would be tricky. Not really easy, either way.
Even people who know what they're doing aren't keen on doing this, so that should give you a hint.
If you're looking for maximum space filling in the coil, and can stomach the cost, then you can get square wire. It can be obtained with enamel coating.
Here's a supplier (there are others out there):
Swiger Coil
I think it was forum member BrianC4 that used their wire on his project.