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. :)