i dont care if they have wall insulation for skin and piss anti-freeze, when you see a blizzard raging over a glacier and go deeper underground where there is even less heat and see someone without a shirt, it looks really jarring.
This isn't life as we know it, there resistance could have been through evolution, the nords with the strongest natural resistance survived. Or through magic, they have a resistance to frost due to some magic power they have.