Well the densities of iron and brass are not tremendously different.  However brass can be rolled and drawn to thinner usable gauges.  So I would expect an iron sax that has any chance of being playable would be on the order of 10 times the weight of a brass saxophone.  But even with the most protective coatings available, you would be fighting horrendous corrosion problems. 

Maybe buy a cheap, non playing horn and paint it to look like iron. :)