The weights only need to be made of something with reasonably high thermal mass, and the coating only needs to have thermal conductivity in a range that will allow the transfer of heat from your hands to the weights quickly enough to be useful but not quickly enough to be painful.

My theory here is that your core is well-insulated under most of your skin, but that the soles of your feet and palms of your hands are effectively gaps in this insulation. Under this theory, I would not expect your hands to feel hot when you're exercising, since they contain no major heat source and have ready access to a major heat sink (the outside world). Cooling your hands just makes them a better heat sink for the rest of the body, reducing the need to sweat.