There is no absolute rule on this....but, generally, the higher pressure the round chambered in the gun, the thicker the wall thickness of the barrel. For example, the 45 ACP is a relatively low pressure round (less than 20,000 psi, for standard loads). 9mm Para, maxes out at 35,000 psi (again, for standard loads). Using the same ordnance steel....a 9mm barrel will have the greater wall thickness of the two.
Virtually all small arms barrels (which of course includes all hand guns), from whatever manufacturer, are made from either 4140 chrome moly.....or 4160 chrome moly steel (or their equivalent). 4160, with it's higher nickel content, is the alloy used for "stainless" steel barrels. 4160 doesn't take bluing well, so 4140 is used for barrels to be blued.
There is NO absolute correlation as to the wall thickness of a barrel as regards the quality of that barrel. Thicker doesn't necessarily equate to better and vice versa.
As for your Beretta PX4.....I'm not sure which model you have (the standard and compact sizes are a bit different from the subcompact.) I believe, if I am not mistaken, that the muzzle of the PX4 subcompact model has a very thick profile, due to the muzzle lockup design. If you have that model, it might APPEAR that the barrel walls are extraordinarily thick, for this reason (but this might be misleading).