Interior insulation of an old brick house

My house was built in 1919 and I was surprised to find that it is constructed with brick walls, rather than 2x4 or 2x6 studs. The exterior has a brick veneer and the inside walls are made up of red clay tile like bricks that are 4" thick. The walls are essentially uninsulated ..... not good in Minnesota.

I would like to insulate the walls by using construction adhesive to attach 2" polystyrene directly to the interior brick wall, and then use construction adhesive to attach the sheet rock to the polystyrene. The wall is above grade and moisture is not an issue. This would allow me to avoid drilling/screwing into the brick - when I replaced windows, the brick crumbled when I tried to use Tapcon screws. The thermal bridge that 2x2 stud wall would create is also avoided.

Questions:
1. Is construction adhesive adequate to hold up the polystyrene and sheet rock?

2. Are there better or easier ways to do this project?

I appreciate any thoughts and recommendations you have