Is it something similar for temperature? In my country some people go swimming all year around - even when the lake is covered in ice (they cut a hole). They say if you go everyday from summer to winter, you don't notice the temperature change and it's not such a big deal.
I’m not aware of anything like Substance P for temperature sensation. If I had to guess, it sounds more physiological— circulatory system adaption to handle colds exposures (e.g. blood vessel diameter). Maybe someone else here knows more and we can both learn!