If you're worried about heat, the \*last* thing you should be doing is running your laptop with it's lid closed (regardless of whether your're booted into XP or Fusion).
As for which would generate less heat... I have no idea. On a theoretical level I'd say that running XP on it's own would generate less (because you're running one OS, not two), but to be practical, I don't know... running XP in Parallels seemed faster than running XP "live" which tells me that the OS X overhead, for some things, may not be much of a contributing factor (i.e. heat is generated more by how hard the system is working... the harder it works, the more heat it generates).
Of course, I could be just blowing smoke here... =)
Seriously tho. If heat is at all a concern for you, please don't run your laptop with the lid closed. You cut off some very necessary venting by doing so.