Hmm... let's se, many Zombies (and your basic human zombie in particular)have an Enviroment listing of Any in the Monster Manual, this would imply one might find them in tropical areas, temperate areas, oh... and artic(cold) areas. As I understand things, creatures (and undead) are generally expected to be able to operate in well any of the enviroments where one would find them and still be the same threat (CR) to characters. This would lead one to think that a monster or creature would not be expected to take damage from its enviroment under typical circumstances (and -20 degrees* is not exactly unusual for the artic... it's what gives it that whole... artic feeling).
While zombies certainly lack the adaptions of say a polar bear to keep them alive in sub-zero weather... being undead, the whole staying alive bit is not an issue. Zombies may indeed "freeze" but unless they are encased in ice, I wouldn't expect them to be inconvenienced much by the cold... especially if they're zombie polar bears.
* Not that the rule in question applys here anyway.