I'm not 100% sure of this. Totally anecdotal but... I was born and raised in a continental climate, where during winters most day you would stay between -2C and 1C and sometimes you can get -10C during nights. I remember feeling cold but it wasn't that extreme.
Then in my twenties I moved to a warmer, near the sea place where a cold winter is when you get 2/3 Celsius degrees in the coldest night and after a few years of that life, now when I go back the place where I was born in winter, I feel fucking cold (and I have special winter jackets for that).
My anecdote is the other way around. I was born in the subtropics, grew up w/o A/C. It never got below freezing.
I moved to a colder climate. The first few years I complained that the summers were never hot enough. I expected and wanted to walk out of an A/C'ed building into a wall of heat and humidity.
Now I'm used the colder weather, and find 15C/60F to be a wonderfully comfortable temperature.
And nowadays I find winter is the only season to visit where I grew up, if I want to feel comfortable.
I figured it wasn't epigenetics or some such, but rather that your body could adapt to it. I remember once when it was -23C/-10F for a week then warmed up to -10C/14F. I rolled the windows down on the car because I felt so warm ... and then I noticed the bank thermometer and was surprised.
Then in my twenties I moved to a warmer, near the sea place where a cold winter is when you get 2/3 Celsius degrees in the coldest night and after a few years of that life, now when I go back the place where I was born in winter, I feel fucking cold (and I have special winter jackets for that).