Inert gas in welding isn't used to carry heat, it's used as shielding to prevent oxidation, nitridation, and ingress of hydrogen. In any case, the heat capacity of the noble gases are almost identical. What xenon might do is reduce diffusion of heat away from the weld, as its thermal conductivity is just 1/3rd that of argon.
In practice I think a combination of argon and CO2 is typically used for inert gas welding of steel.
It depends on the process. Argon/CO2 is used for MIG welding, while TIG generally uses pure argon. In some situations that justify the expense, helium is used instead as it allows deeper weld penetration.
