Meerschaum doesn't burn but I'm sure if you heat it too much too fast it might crack, just like smoking a cold meerschaum pipe in the winter,
I often smoke a meer in the middle of winter on my deck, zero degrees or, maybe a wee bit colder. You take the pipe out of your shirt pocket, stuff it, light it and enjoy. Never had a problem. The pipe is at body temperature and then the burning tobacco blend keeps it warm. Never had any kind of issue with either meerschaum, briar or cob smoking at or below zero. I've never met a smoker who had a problem. Heard lots of stories, usually third hand. Never met an eyewitness to a pipe failing at cold temperatures.
I've never left a pipe out to freeze though. I treat my pipes with little concern but, I haven't knowingly abused one in that manner. I simply do not believe cold weather smoking endangers pipes. It starts warm in your pocket. is warm in the hand and gets warmer when the tobacco it lit.
On the North Slope, ,id-winter. it was usually too cold, -20 and colder, to even contemplate getting out of the truck. So, a cold, exploding pipe is simply an "old wives tale" as far as I'm concerned until, I meet a smoker who had a meerschaum fail because of cold ambient temps. No second hand tales please.
I suppose one could deliberately set up a scenerio where such might happen. Leave a meer outside to freeze, wear gloves/mittens while loading and handling and puff like hell so the bowl doesn't warm slowly. That
might cause a failure, doubt it though. Or, put it in the freezer overnight and take a torch to it in the morning.