This is a scientific question, but I beleive that sand would hold more heat because there will be air pockets in the gravel, but the sand will fill the entire cavity. I would not use cement (too costly & time consuming).
Don

Almost any uniform roundish particles placed in a container will have a similar percentage of voids between the pieces, whether the size is large gravel, pea gravel, or sand. This can be seen if you fill two alike buckets, one with pea gravel and the other with sand. Both will take about the same amount of water to fill the voids.

Now if you mix about four parts pea gravel with one part sand you get a denser material. In theory the gravel leaves about a 15 percent void that is filled with sand that further reduces that void by another 85 percent. In practice, it's not that efficient, but it is much more dense than either material alone.

Density is one of the factors - you should also consider the ability of the material to transfer the heat (or conversely to insulate). Dry packed sand or gravel with spaces between the particles can store a lot of heat (more if it is dense as plsxx says), but has a hard time moving the heat. Therefore, the dry material often never warms up. This is the reason sand is cool an inch down from burning hot material on the surface. Cement, grout, even a very weak mix would improve this. Even a sand/lime slurry forms a sort of mortar that would be better than dry material. You really want a solid block of something in there to create the best heat storage wall. And it will make your wall stronger. It also helps to use rebar - metal stores a lot of heat and moves it well.

Thanks, folks: LouisWilliam--Do you think if I were to fill the wall with sand, and paint the block wall a dark color (which I had intended to do anyway), that it would help the sand absorb and hold heat??

Well, painting it black would certainly help heat up the block, and higher block temperature will transfer more heat to the sand, but you will still have the problem of getting the sand to move the heat into the middle. Dry sand particles just don't touch each other in many spots, so they can't transfer heat very efficiently. Mix the sand with with lime or portland to make a pourable slurry and fill the block with the slurry. Dry sand behind the wall is good to keep the heat from being lost to the earth.