[Cold diuresis](http://www.arkansasurology.com/blog/what-is-cold-diuresis). To preserve body heat, blood vessels near our extremities constrict, causing a rise in blood pressure for some people. To lower the blood pressure, the kidneys start filtering out some water to reduce the amount of liquid in the system, resulting in more urine.
It is a (very) early sign of hypothermia, so bundle up.
Pee is extra mass that the body must work to keep at body temperature, and calories are typically referred to as how much energy to warm water 1 degree celsius. The pee cools down naturally, and quicker when cold, so the body spends more energy trying to keep it warm. The body realizes this, and tries to expel extra unnecessary mass to keep itself warmer easier when it takes more effort to keep the pee at body temp.
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