I say this because there are basically a half dozen choices of really cold countries. After that you have a few dozen which see serious winters or which are at high elevations.
It would depend on the events of the story. Are your characters searching for the Northwest Passage? Are they on a whaling expedition? Do they live in Scandinavia or Siberia or St. Petersburg, Russia or Greenland or Labrador? Are they immigrants to the Great Lakes / St. Lawrence River region, from England perhaps, or from the southern United States? Are they used to the climate, or is this their first experience of it? Was it perhaps an unusually cold winter - or series of winters -- in Europe?