Can I replace a quick release skewer by something that needs a wrench to open?

There is a list of products here

https://www.cyclingabout.com/list-ways-theft-proof-wheels-secure-components-locking-security-skewers-seatpost-locks/

Loosely:

• A set of skewer ends designed to make your wheels unremovable unless you turn your bike upside down, which would be hard without removing the bike
• Various proprietary tools that mean your wheels are unremovable without the right tool
• Slightly more deluxe versions with the manufacturer making dozens of different tools/keys so that there is no chance a thief will carry them around

In general you won't be able to replace your skewers with bolt thru axles unless the unlikely event you have fancy hubs that are designed to take a bolt on axle.

E.g. https://www.hopetech.com/products/hubs/accessories/axle-conversion-kit/

I suggest something like this

https://www.evanscycles.com/brand/mpart/road-allen-key-security-skewers-930614

Is a reasonably cost effective solution

Can a through bolt axle of the same width be used? My searching has at most given me at most Allen Key Skewers, which are still easier to open than with a wrench

Relying on the hypothesis that a thief can have allen keys but not a 15 mm wrench to unscrew the bolt-on axle is rather weak. You should certainly expect a thief to have common tools with them, and to be very fast with using these tools. I am sure that in your incident, if the thief had less exposure, all the bicycles on the same rack would have lost their unsecured wheels.

There is no easy way to replace a QR-axle with a bolt-on axle (nor with through axle). The latter one (ø9–10 mm) cannot be squeezed into the hollow QR-hub hole (~ ø5 mm); you'll need a different wheel hub that has a solid axle. Then, the dropouts of the fork and frame, if they are designed for QRs, may be a bit too narrow to fit bolt-on axles. They can be filed to be wider of course, but that is irreversible.

That said, I do happen to have a "bolt-on" rear axle replacing the QR. It is threaded all along its length, and uses two large nuts with matching threaded holes to secure it. I use it not for security but because I need a wider rear axle. It is fully custom however and very hard to obtain for two reasons:

1. The rod itself must be of a hardened steel, which is typically not available in hardware stores in form or threaded rods with required diameter.
2. The nuts must have wrench flats for larger wrench (15 or 17 mm) but have a tiny threaded hole (5 mm), which is also not something usual.

I don't want something that is harder to open (i.e., a pitlock)

Sorry, but you are contradicting yourself. You do want something that is harder for the thief to open; otherwise why bother? There are many "secure QR"-designs on the market, from those with custom heads, to gravity-based ones (can only be opened when a bicycle is upside down). Another alternative is to actually lock the second wheel with a secondary lock to the frame in addition to the primary lock that secures the frame and the remaining wheel to a stationary object.

If you are absolutely convinced that nutted axle is what you need, it is possible with some but not all QR hubs. The first step is to find the exploded view diagram of the hub or disassemble it if you already have it, and see if the axle is just a straight threaded rod. If it is, and you can find a bicycle axle with the exact same thread and 3-4 cm extra length and matching track nuts, you're all set. Just any threaded rod will not work, because even if the diameter is right, the thread is probably too coarse and heat treatment not right.

Now that you have both the hub and the replacement axle, you simply disassemble the hub by unthreading everything on the axle, and rebuild it with new axle.

Edit: Of course, there are conversion kits for some but not all hubs with non-standard axles.

Another option that is commonly employed to consider is to continue to use regular quick release skewers, but to lock the skewer handle to the frame and fork using hose clamps.

This is a common countermeasure in high theft areas. It's not bulletproof, but since hose clamps are only around a dollar each, it has an unmatched bang for the buck value.

You can file the edges of the screwdriver slot to require a nut driver or wrench instead of a screwdriver. Any thief capable of undoing these will be capable of removing nutted axles just as easily.