winton,
That's actually a good question. I'd never really given it a lot of thought. I'm very fortunate that I have a wife who doesn't have any problem with me smoking my pipes in the house, so during cold weather, I'm usually smoking my pipes (whether clay, cob, meerschaum, or briar) in the house or in my heated workshop. My gut feeling having worked with clays is that if you had your clay say in the house at room temperature and then took it outside to smoke it in below freezing temps and immediately started smoking it, the pipe would probably do fine. My only concern would be if you have left the clay say outside in your car and the pipe had cooled down to below freezing, then the sudden rise in temperature from the burning tobacco could possibly cause the bowl to crack or fracture. Often times when glazing my once fired clays, I'll fire them again with the glazing in a small kiln that rises to temperature much faster than my large kiln. I'm talking about going from a room temperature in the shop of say 55 degrees F and reaching 400-500 degrees F in a matter of minutes and steadily climbing to reaching an eventual temperature of 1,832 degrees F necessary for the glazing to properly set. I've never had one fracture doing that (I have had unfired clay pipes undergoing the initial firing shatter in the kiln from time to time but this is usually do to an air pocket or some other flaw that compromises the pipe's structural integrity). However, my kiln manufacturer doesn't recommend firing the kiln in below freezing temps which would make me think that there would be some risk of the sudden temperature change causing a catastrophic failure with the clay object being fired.
I would expect though that many a clay pipe has been smoked by a weary soldier in winter camp over the centuries looking for a little bit of pleasure to take his mind off of the frigid cold. It would be interesting to talk with archaeologists who have excavated winter military camps such as at Valley Forge during the Revolution or perhaps around Civil War winter encampments and see how many clays they have found in camp.