It seems to me that you want to prevent water vapor from escaping the container. There are different ways to stop this, but having an escape duct for the steam is useful in order to prevent an accident. For example, let's consider that your heating apparatus has an issue, and instead of periodically heating the container which heats the water, it keeps on applying energy. Air pressure in your container might accumulate to dangerous levels until one of two things occurs:
- The container melts/cracks due to high temperature, and the vapor escapes.
- The air pressure ruptures your container (could be violent).
Both scenarios are not ideal. So an air pressure escape duct is useful. In other words, don't make a container that is prone to accidents.
Now, you suggest that a pressure sensor would be a good way to prevent pressure from accumulating. Your apparatus would measure the pressure, and stop applying heat when the level is too high. My suggestion would be to use a heat sensor instead. There is no need to invest in a pressure sensor that will probably be more expensive. Remember that the ideal gas law (assuming you are not doing precise calculations) relates pressure to temperature; so the temperature probe will do just fine.
Now, there is a fundamental issue with what you are trying to propose. You want to achieve something impossible: "without loss of heat". If you stop applying heat, the already present heat will disperse into the environment. It doesn't matter what kind of container you have, heat will simply be conducted and lost to the environment. As DrMoishe Pippik suggests in his answer, insulting your container will reduce heat conduction, but it does not stop it. You will find yourself spending large amounts of money on an apparatus that simply won't work. Additionally, "keep the steam captive and reflux it safely back to the boiler" is not a smart nor cost-effective idea. Firstly, your gas will cool down, and trying to re-heat the water with the "captive" vapor is just overcomplicating things. However, saunas do exactly that, but they don't re-use their water, and they always heat the vapor again.
Finally, if you don't want the vapor to escape, just use a large container that can maintain all the water in its vapor state without safety issues. Then, your probe measures the temperature and stops heating when it is too high. Since $\ce{H2O(l)<->H2O(g)}$ is reversible, you won't lose your water. And make sure to have an escape duct!