I think you nailed the title right on the head. She does look cold and her skin actually looks mottled from being cold. The dark background and harsh lighting add to the effect as well. I think the pose is very natural and the photo is nice. Something about the light on her face bothers me but I can't quite put my finger on it. I'm thinking it may have something to do with the way the light seems to "surroud" her eye and not really light it up. Not sure though.
In any event, have a great day and I hope you'll post more from this series.