'Xenon' fill tungsten lamps are actually _halogen_ lamps.
The fill gas in a halogen lamp is a mixture of a halogen (Fluorine, Chlorine, Bromine, etc.) and an inert gas (Argon, Neon, Krypton, Xenon).
The Halogen is there to react with the Tungsten, specifically any Tungsten that deposits on the envelope. This Tungsten-Halogen compound is a gas, and it gets dissociated by the heat from the filament, releasing the halogen and re-depositing the Tungsten on the filament.
The inert gas is there because at higher _total_ pressure, the rate of Tungsten evaporation is reduced. The combination of the Tungsten-Halogen cycle re-depositing Tungsten on the filament, and the inert gas preventing evaporation in the first place, means that you can operate the filament at higher temperatures for higher efficiency.
Why Xenon rather than a cheaper inert gas? Because the higher the gas pressure, the greater the thermal conductivity of the gas, and the more heat that is carried away from the filament by conduction. The _heavier_ the gas, the lower its thermal conductivity. Xenon is the heaviest of the inert gasses used in halogen lamps. (Radon would be heavier, and thus at the same pressure there would be even less in the way of conduction loss, but it has other issues.)
-Jon