What material is comonly used as insulator in laminations

(1 mm steel is thick!)

The isolation may not be required, since you're probably (S)ELV. Anyway, it's not going to cost you much space-wise. I wouldn't mess with paint sprays and such. Agreed, it's the thinnest, but I assume you can afford the thickness of a 0.1 mm PP (PolyPropylene, PP has very low water absorption) sheet?

Try to use only SMT parts, and mount them single-sided. PTH components will add at least 2 mm because of the pins sticking out at the other side. A single-sided PCB may be glued directly onto the PP sheet, which in turn you glue to the bottom of the enclosure. If you manage to do the wiring of the PCB single-sided as well you don't even need the PP insulation. It may be worth using a couple of 0 Ω jumpers to ease the layout.

You can save an extra couple tenths of mm by using a 0.8 mm PCB instead of the standard 1.6 mm. The thinner PCB is less stiff, but at the small size it's not a problem, and when glued against the enclosure it won't get any mechanical strain anyway.

As others have said, the yellow color is chromate treatment on top of mild steel. Less common these days, I think, there is some environmental issues with some versions of it. It's actually quite conductive electrically, to the extent that a version of it is used on aluminum, for example, when we actually require electrical conductivity. Similar parts from Wikipedia link above:

The entire transformer is probably also vacuum impregnated with enamel by dunking it into a liquid in a vacuum chamber. This leaves an almost clear coating on top of the chromate (where it is thicker, as in drips, it will appear more brown). It improves the insulation of the windings, and bonds the laminations together so they are not as likely to buzz at 100Hz or 120Hz from the mains (photo of equipment from above link):