[TomO]

I can't say from personal experience if they work or not as an insulator, but...
Ping pong balls are the first thing to come to my mind. But there will be a minuscule gap if only using one layer. but trying to maintain two layers would be nearly impossible as the top layer would want to push the lower layer aside so the top layer could come to the same plane as the lower level.

It might be cheap enough to give it a try. Only issue would be to put a screen over the wake inlet for the pump so the balls don't get sucked in. Heck, Mythbusters raised a tugboat from a lake bottom using only ping pong balls!

Other thing to try might be Racket Balls since they're rubber and have a thicker wall that might provide more insulating R value. They might not be as comfortable though to sit in while using the tub.

It might even be possible to use the two together since they're different sizes and would float in the water at a slightly different level as the ping pong balls are lighter and would sit higher in the water.

now when you say "hot tub" do you mean jacuzzi? With jets and everything that churn up the water's surface? In that case you would need a lot of balls in order for it to still form a thermal barrier over the water.