I have lived in houses without fridges or where the fridge was too small where we did this. The pantry is usually in the corner of the house so it gets cooler or even an outside pantry. The problem is that there is very little temperature control. In the summer temperatures can get quite high even in cold climates so the pantry would become room temperature or even higher. And in the winter you might risk frost in this pantry which destroys a lot of food. So it requires constant attention to the temperature and it might not be fully usable for large parts of the year.
Having a fridge inside is not a waste of energy in cold climates. The fridge will dump its excess heat into the room which means you do not need to heat your house as much using other means. Even the overhead from the compressor and such that gets got from use will end up as heat inside the house, which is where you want it. In fact split fridges is something you see in warmer climates, commonly industrial fridges, where you do not want to heat the inside of the house. So you can actually save energy in a warm climate by having the radiator on the back of the fridge stick outside the house. But in cold climates this would just waste energy.
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