For rugs made on coarse canvas there are many thick wools available, of which that known as "Turkey" wool is the most commonly used and can be bought at nearly all needlework shops.
As regards actual thickness, any wool described as "6-ply" should be suitable for a coarse canvas, but Herdwick 3-ply is of equal thickness and Wilton "6-ply" (so-called) is really another thick 3-ply wool (i.e. it is formed of three obviously distinct strands twisted closely together).
The selling title of 6-ply is to accord with the popular (if incorrect) idea that the thickness of any wool depends only on the number of plies in it.