Think bout it; wouldn’t it hold heat longer than thin oil like 0w16 or 0w20? Just guessing
No.
There's a property of materials called "specific heat" which just tells you how much energy it takes to raise the temperature of a fixed mass of the material by an increment of temperature. Typically the units of specific heat are energy-mass °Temp. For example, the specific heat of water is 4.18kJ/(kg-°C). Meaning, it you want to raise the temperature of kg of water (1 liter by volume) by 1°C. it takes 4.18kJ of energy to do so.
Oil, at 100C, has a specific heat of only about 2.2-2.5, depending on temperature and blend. It's just over half as heat-dense as water. This is why water cooling (with glycols) is so much more effective than oil cooling in terms of heat transport.
Now, if the only difference between two oils is density, then the higher density oil will store more heat on a volumetric basis; it has more mass for the same volume. On the high end, engine oils will be in the 0.9 range for density with less dense oils in the 0.83 range. It's not a huge range overall, but enough to matter perhaps in some conditions.
There's not much to the thermodynamic differences of oils as a function of viscosity. Your oil pump is positive displacement so the flow to the oiling points of the engine isn't reduced enough to matter (imo) with thicker oil until the oil pump goes into bypass. While thicker oil makes it harder to force oil through tight bearing clearances and such, it also makes your oil pump more efficient by lowering its internal leakage. So net/net, very similar flows result. You'll just have higher oil pressure and use more pump shaft work with the thicker oil to do the same flow work.
The higher densities of some oils might be entirely offset by lower specific heats of different base stocks or base stock blends.
A thicker oil will not cause an otherwise healthy engine to overheat, nor is going to a thinner oil going to magically correct your hot-runner and make it run closer to the desired temperature range.