I have a masonry exterior wall with a 6" stud interior plus insulation. Since these are seperate back to back walls, the window family won't cut through more than 1 of the walls.
To get around this. Here is an option.
Open the window you are using on the exterior brick wall.
Erase all geometry accept the window opening.
Do a Save As, and save the file.
Now you can place this in the interior wall and the opening is the same as the window.
In addition you could lock the blank window to the regular window with the align tool. Then lock button.