Same effect as a pelmet, but behind the curtains?

Mander

Hope this is in the right place!

I've been thinking about making pelmets for the windows in the hopes that they will help with the cold next winter. I don't really want a typical pelmet in my living room, however. Just not the look I wanted. The curtains themselves are pretty voluminous and lined, so they close off the sides of the windows, but there is a big gap at the top where the curtain rod sticks out from the wall.

I have been wondering if I could get the same insulating effect that a pelmet would have by essentially extending the window frame outward a few inches so that it meets the curtains. I haven't quite worked out just how I would do this, but the idea would be a sort of miniature pelmet that sits behind the curtains and under the curtain rod.

Do you think this would have a similar effect? Or does the pelmet have to be outside the curtains in order to be effective?