Howcome you pee a lot when the weather is cold?
Some people tend to urinate more in the cold weather because the muscles that are around the bladder tense up when it is cold. You may not urinate in larger amounts but you will need to go more often.
You may also be drinking more liquids in cold weather, tea, hot chocolate, coffee etc which could be causing you to have to urinate more frequently.
Your body is losing less fluid in sweat during the cold
I think it might be in your head.